Pharma

63c55f2b57feef108efd089c

Tells the algorithm how often to rebalance to the policy weights. In between rebalancing, asset weights can change due to return drift.

Tells the back test what factors should be used to help explain portfolio performance.

Set the start and end times for the back test.

If the "Start Date" input is empty, the back test will start on the least recent date possible.

If the "End Date" input is empty, the back test will end on the most recent date possible.

Clear both date input boxes to get the longest possible back-test.

Back Test Report

Back-test returns span 2019-10-11 to 2023-08-11.

Key Statistics

Returns

Portfolio
12.05%
Benchmark
10.86%

Risk

Portfolio
45.82%
Benchmark
18.53%

Sharpe Ratio

Portfolio
0.37
Benchmark
0.38

Excess Returns

1.19%

Tracking Error

42.41%

Risk Free Rate

4.94%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

19.86

Skew

0.91

Excess Kurtosis

22.57

Excess Skew

1.1

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0006

Adjusted R2

0.2

Documentation

Factor Attribution

Documentation