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 10m 7d)

Returns (annualized)

Portfolio 36.87%
Benchmark 18.34%

Risk (annualized)

Portfolio 26.88%
Benchmark 20.46%

Sharpe (annualized)

Portfolio 1.25
Benchmark 0.86

Excess Return (annualized)

18.52%

Tracking Error (annualized)

11.01%

Information Ratio

1.68
Statistic Portfolio Benchmark
Downside Volatility 28.13% 21.88%
Sortino Ratio 1.19 0.80
Calmar Ratio 0.68 0.50
Ulcer Index 14.90 15.07
Max Drawdown 49.33% 35.12%
VaR (99% Confidence) $-6,252 $-4,759
VaR (99.9% Confidence) $-8,306 $-6,321
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

4.35

Skew

-0.34
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0986 1.0986
Size Factor 0.1196 0.1196
Style Factor -1.0927 -1.0927
U.S. Tilt (Non U.S.) 0.4490 0.4490

Adjusted R2

Portfolio 0.84
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution