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 (11y 9m 9d )

Returns (annualized)

Portfolio 38.69%
Benchmark 19.57%

Risk (annualized)

Portfolio 26.94%
Benchmark 20.56%

Sharpe (annualized)

Portfolio 1.31
Benchmark 0.92

Excess Return (annualized)

19.12%

Tracking Error (annualized)

11.05%

Risk Free Rate (annualized)

1.16%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.65

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0992 1.0992
Size Factor 0.1287 0.1287
Style Factor -1.1558 -1.1558
U.S. Tilt (Non U.S.) 0.4501 0.4501

Adjusted R2

Portfolio 0.84
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution