Useful Tech
Portfolio Specification
Assets
Policy
Rebalancing Interval | Monthly |
---|---|
Weights Algorithm | Equal Weights |
Benchmark
Portfolio Description
This portfolio contains publicly traded stocks of companies that develop software products that I use.
Policy Report
Backtest Report
From to (4y 3m 16d)
Returns (annualized)
Portfolio | 17.81% |
Benchmark | 13.33% |
Risk (annualized)
Portfolio | 35.93% |
Benchmark | 17.73% |
Sharpe (annualized)
Portfolio | 0.54 |
Benchmark | 0.61 |
Excess Return (annualized)
4.47% |
Tracking Error (annualized)
24.01% |
Information Ratio
0.19 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 36.02% | 18.09% |
Sortino Ratio | 0.54 | 0.60 |
Calmar Ratio | 0.38 | 0.44 |
Ulcer Index | 13.46 | 14.92 |
Max Drawdown | 51.53% | 24.50% |
VaR (99% Confidence) | $-8,354 | $-4,122 |
VaR (99.9% Confidence) | $-11,098 | $-5,476 |
Beta to Benchmark | 1.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
3.35 |
Skew
0.22 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Market Factor | 1.1394 | 1.1394 |
Style Factor | -1.1486 | -1.1486 |
Size Factor | 0.5299 | 0.5299 |
U.S. Tilt (Non U.S.) | 0.3360 | 0.3360 |
Adjusted R2
Portfolio | 0.79 |
Benchmark | 1.00 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |