Pharma

Portfolio Specification

Assets

BioNTech SE (BNTX)
Astrazeneca plc (AZN)
uniQure N.V. (QURE)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (5y 6m 25d)

Returns (annualized)

Portfolio 20.87%
Benchmark 14.03%

Risk (annualized)

Portfolio 51.59%
Benchmark 21.21%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.61

Excess Return (annualized)

6.84%

Tracking Error (annualized)

48.43%

Information Ratio

0.14
Statistic Portfolio Benchmark
Downside Volatility 43.27% 22.55%
Sortino Ratio 0.67 0.57
Calmar Ratio 0.44 0.38
Ulcer Index 11.29 14.96
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-11,996 $-4,932
VaR (99.9% Confidence) $-15,935 $-6,552
Beta to Benchmark 0.85 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

48.69

Skew

3.38
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8179 0.8179
Style Factor -0.2680 -0.2680
Size Factor 0.3474 0.3474
U.S. Tilt (Non U.S.) 0.0792 0.0792

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution