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 15d)
Returns (annualized)
| Portfolio | 18.23% |
| Benchmark | 13.44% |
Risk (annualized)
| Portfolio | 35.94% |
| Benchmark | 17.74% |
Sharpe (annualized)
| Portfolio | 0.55 |
| Benchmark | 0.61 |
Excess Return (annualized)
| 4.79% |
Tracking Error (annualized)
| 24.02% |
Information Ratio
| 0.20 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 36.04% | 18.11% |
| Sortino Ratio | 0.55 | 0.60 |
| Calmar Ratio | 0.39 | 0.44 |
| Ulcer Index | 13.46 | 14.92 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,356 | $-4,124 |
| VaR (99.9% Confidence) | $-11,101 | $-5,478 |
| 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 | 1.1391 | 1.1391 |
| Style Factor | -1.1485 | -1.1485 |
| Size Factor | 0.5287 | 0.5287 |
| U.S. Tilt (Non U.S.) | 0.3366 | 0.3366 |
Adjusted R2
| Portfolio | 0.79 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |