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 16d)

Returns (annualized)

Portfolio 17.81%
Benchmark 13.33%

Risk (annualized)

Portfolio 35.93%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.54
Benchmark 0.61

Excess Return (annualized)

4.47%

Tracking Error (annualized)

24.01%

Information Ratio

0.19
Statistic Portfolio Benchmark
Downside Volatility 36.02% 18.09%
Sortino Ratio 0.54 0.60
Calmar Ratio 0.38 0.44
Ulcer Index 13.46 14.92
Max Drawdown 51.53% 24.50%
VaR (99% Confidence) $-8,354 $-4,122
VaR (99.9% Confidence) $-11,098 $-5,476
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 Coefficients
Factor Portfolio Benchmark
Market Factor 1.1394 1.1394
Style Factor -1.1486 -1.1486
Size Factor 0.5299 0.5299
U.S. Tilt (Non U.S.) 0.3360 0.3360

Adjusted R2

Portfolio 0.79
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution