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 7m 24d)
Returns (annualized)
| Portfolio | 26.37% |
| Benchmark | 13.68% |
Risk (annualized)
| Portfolio | 35.61% |
| Benchmark | 17.30% |
Sharpe (annualized)
| Portfolio | 0.74 |
| Benchmark | 0.64 |
Excess Return (annualized)
| 12.68% |
Tracking Error (annualized)
| 24.21% |
Information Ratio
| 0.52 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.39% | 17.70% |
| Sortino Ratio | 0.75 | 0.62 |
| Calmar Ratio | 0.51 | 0.45 |
| Ulcer Index | 13.62 | 14.99 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,280 | $-4,023 |
| VaR (99.9% Confidence) | $-10,999 | $-5,344 |
| 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
| 3.33 |
Skew
| 0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1430 | 1.0121 | 0.1309 |
| Style Factor | -1.1270 | 0.0296 | -1.1567 |
| Size Factor | 0.5417 | -0.0665 | 0.6082 |
| U.S. Tilt (Non U.S.) | 0.3254 | 0.3851 | -0.0596 |
Adjusted R2
| Portfolio | 0.76 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |