Useful Tech
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
This portfolio contains publicly traded stocks of companies that develop software products that I use.
Policy Report
Backtest Report
From to (4y 6m 26d)
Returns (annualized)
| Portfolio | 25.31% |
| Benchmark | 14.36% |
Risk (annualized)
| Portfolio | 35.71% |
| Benchmark | 17.36% |
Sharpe (annualized)
| Portfolio | 0.72 |
| Benchmark | 0.67 |
Excess Return (annualized)
| 10.95% |
Tracking Error (annualized)
| 24.26% |
Information Ratio
| 0.45 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.51% | 17.72% |
| Sortino Ratio | 0.72 | 0.65 |
| Calmar Ratio | 0.50 | 0.47 |
| Ulcer Index | 13.58 | 14.98 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,304 | $-4,037 |
| VaR (99.9% Confidence) | $-11,031 | $-5,363 |
| 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
| 3.34 |
Skew
| 0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1413 | 1.0122 | 0.1290 |
| Style Factor | -1.1429 | 0.0299 | -1.1728 |
| Size Factor | 0.5418 | -0.0668 | 0.6086 |
| U.S. Tilt (Non U.S.) | 0.3254 | 0.3854 | -0.0600 |
Adjusted R2
| Portfolio | 0.77 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |