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 10m 12d)
Returns (annualized)
| Portfolio | 28.14% |
| Benchmark | 14.17% |
Risk (annualized)
| Portfolio | 35.43% |
| Benchmark | 17.08% |
Sharpe (annualized)
| Portfolio | 0.78 |
| Benchmark | 0.67 |
Excess Return (annualized)
| 13.97% |
Tracking Error (annualized)
| 24.21% |
Information Ratio
| 0.58 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.19% | 17.48% |
| Sortino Ratio | 0.79 | 0.65 |
| Calmar Ratio | 0.54 | 0.46 |
| Ulcer Index | 13.69 | 15.02 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,238 | $-3,972 |
| VaR (99.9% Confidence) | $-10,943 | $-5,276 |
| Beta to Benchmark | 1.65 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.25 |
Skew
| 0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1491 | 1.0115 | 0.1377 |
| Style Factor | -1.1194 | 0.0294 | -1.1488 |
| Size Factor | 0.5256 | -0.0662 | 0.5918 |
| U.S. Tilt (Non U.S.) | 0.3364 | 0.3854 | -0.0490 |
Adjusted R2
| Portfolio | 0.76 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |