Magnificent Seven
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
The “Magnificent Seven” was coined by Bank of America analyst Michael Hartnett, according to Yahoo Finance.
The companies will be equally weighted for this backtest.
Policy Report
Backtest Report
From to (4m 21d)
Returns
| Portfolio | 15.86% |
| Benchmark | 9.34% |
Risk (annualized)
| Portfolio | 19.56% |
| Benchmark | 15.61% |
Sharpe (annualized)
| Portfolio | 1.82 |
| Benchmark | 1.29 |
Excess Return
| 6.52% |
Tracking Error (annualized)
| 8.18% |
Information Ratio
| 2.45 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 20.95% | 17.25% |
| Sortino Ratio | 1.70 | 1.17 |
| Calmar Ratio | 4.11 | 2.56 |
| Ulcer Index | 15.57 | 15.60 |
| Max Drawdown | 8.66% | 7.88% |
| VaR (99% Confidence) | $-4,526 | $-3,613 |
| VaR (99.9% Confidence) | $-6,012 | $-4,800 |
| Beta to Benchmark | 1.15 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.82 |
Skew
| -0.33 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.2115 | 1.0888 | 0.1227 |
| Size Factor | -0.1479 | 0.0222 | -0.1701 |
| Style Factor | -0.5407 | -0.3996 | -0.1411 |
| U.S. Tilt (Non U.S.) | 0.6108 | 0.3474 | 0.2634 |
Adjusted R2
| Portfolio | 0.86 |
| Benchmark | 0.96 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |