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 7m 5d)

Returns (annualized)

Portfolio 40.18%
Benchmark 19.87%

Risk (annualized)

Portfolio 26.79%
Benchmark 20.42%

Sharpe (annualized)

Portfolio 1.34
Benchmark 0.92

Excess Return (annualized)

20.30%

Tracking Error (annualized)

10.99%

Information Ratio

1.85
Statistic Portfolio Benchmark
Downside Volatility 28.01% 21.79%
Sortino Ratio 1.28 0.86
Calmar Ratio 0.73 0.54
Ulcer Index 14.91 15.07
Max Drawdown 49.33% 35.12%
VaR (99% Confidence) $-6,232 $-4,749
VaR (99.9% Confidence) $-8,278 $-6,308
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

4.51

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.1005 1.1005
Size Factor 0.1235 0.1235
Style Factor -1.1092 -1.1092
U.S. Tilt (Non U.S.) 0.4482 0.4482

Adjusted R2

Portfolio 0.84
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution