Useful Tech

Portfolio Specification

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 6d)

Returns (annualized)

Portfolio 17.56%
Benchmark 13.17%

Risk (annualized)

Portfolio 36.01%
Benchmark 17.78%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.60

Excess Return (annualized)

4.39%

Tracking Error (annualized)

24.06%

Information Ratio

0.18
Statistic Portfolio Benchmark
Downside Volatility 36.14% 18.14%
Sortino Ratio 0.54 0.59
Calmar Ratio 0.38 0.44
Ulcer Index 13.46 14.92
Max Drawdown 51.53% 24.50%
VaR (99% Confidence) $-8,372 $-4,133
VaR (99.9% Confidence) $-11,121 $-5,490
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

0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.1390 1.1390
Style Factor -1.1488 -1.1488
Size Factor 0.5306 0.5306
U.S. Tilt (Non U.S.) 0.3358 0.3358

Adjusted R2

Portfolio 0.79
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution