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 (5y 2m 4d)
Returns (annualized)
| Portfolio | 34.64% |
| Benchmark | 15.36% |
Risk (annualized)
| Portfolio | 35.46% |
| Benchmark | 16.90% |
Sharpe (annualized)
| Portfolio | 0.92 |
| Benchmark | 0.73 |
Excess Return (annualized)
| 19.28% |
Tracking Error (annualized)
| 24.57% |
Information Ratio
| 0.79 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 34.93% | 17.25% |
| Sortino Ratio | 0.93 | 0.72 |
| Calmar Ratio | 0.63 | 0.50 |
| Ulcer Index | 13.79 | 15.06 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,246 | $-3,931 |
| VaR (99.9% Confidence) | $-10,953 | $-5,221 |
| 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
| 3.26 |
Skew
| 0.25 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1519 | 1.0104 | 0.1415 |
| Style Factor | -1.0790 | 0.0275 | -1.1065 |
| Size Factor | 0.5106 | -0.0655 | 0.5761 |
| U.S. Tilt (Non U.S.) | 0.3540 | 0.3850 | -0.0310 |
Adjusted R2
| Portfolio | 0.73 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |