Magnificent Seven

Portfolio Specification

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 (13y 3m 7d)

Returns (annualized)

Portfolio 38.42%
Benchmark 19.59%

Risk (annualized)

Portfolio 27.22%
Benchmark 20.77%

Sharpe (annualized)

Portfolio 1.28
Benchmark 0.89

Excess Return (annualized)

18.83%

Tracking Error (annualized)

11.02%

Information Ratio

1.71
Statistic Portfolio Benchmark
Downside Volatility 28.25% 22.04%
Sortino Ratio 1.23 0.84
Calmar Ratio 0.70 0.53
Ulcer Index 14.89 15.07
Max Drawdown 49.33% 35.12%
VaR (99% Confidence) $-6,330 $-4,830
VaR (99.9% Confidence) $-8,409 $-6,416
Beta to Benchmark 1.22 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.52

Skew

-0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0940 1.0232 0.0708
Size Factor 0.1207 0.0130 0.1077
Style Factor -1.0844 -0.6137 -0.4707
U.S. Tilt (Non U.S.) 0.4458 0.3807 0.0651

Adjusted R2

Portfolio 0.85
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution