Magnificent Seven

Specification

Benchmark
Invesco QQQ Trust Series 1 (QQQ)

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 (12y 27d)

Returns (annualized)

Portfolio 39.39%
Benchmark 19.91%

Risk (annualized)

Portfolio 26.80%
Benchmark 20.44%

Sharpe (annualized)

Portfolio 1.33
Benchmark 0.93

Excess Return (annualized)

19.48%

Tracking Error (annualized)

11.00%

Risk Free Rate (annualized)

1.26%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.66

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.1036 1.1036
Size Factor 0.1265 0.1265
Style Factor -1.1344 -1.1344
U.S. Tilt (Non U.S.) 0.4509 0.4509

Adjusted R2

Portfolio 0.84
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution