Useful Tech
Specification
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
Description
This portfolio contains publicly traded stocks of companies that develop software products that I use.
Policy Report
Backtest Report
From to (4y 23d)
Returns (annualized)
| Portfolio | 13.02% |
| Benchmark | 9.38% |
Risk (annualized)
| Portfolio | 36.35% |
| Benchmark | 17.85% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.41 |
Excess Return (annualized)
| 3.64% |
Tracking Error (annualized)
| 24.37% |
Information Ratio
| 0.15 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 36.64% | 18.28% |
| Sortino Ratio | 0.43 | 0.40 |
| Calmar Ratio | 0.30 | 0.30 |
| Ulcer Index | 13.50 | 14.90 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,453 | $-4,150 |
| VaR (99.9% Confidence) | $-11,228 | $-5,513 |
| 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
| 3.31 |
Skew
| 0.21 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 1.1469 | 1.1469 |
| Style Factor | -1.1512 | -1.1512 |
| Size Factor | 0.5275 | 0.5275 |
| U.S. Tilt (Non U.S.) | 0.3317 | 0.3317 |
Adjusted R2
| Portfolio | 0.79 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |