“Moaty” MedTech

Portfolio Specification

Assets

Edwards Lifesciences Corp (EW)
Intuitive Surgical Inc (ISRG)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 1m 5d)

Returns (annualized)

Portfolio 20.55%
Benchmark 10.89%

Risk (annualized)

Portfolio 29.15%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.75
Benchmark 0.55

Excess Return (annualized)

9.66%

Tracking Error (annualized)

21.73%

Information Ratio

0.44
Statistic Portfolio Benchmark
Downside Volatility 29.42% 21.42%
Sortino Ratio 0.74 0.52
Calmar Ratio 0.43 0.22
Ulcer Index 14.20 14.86
Max Drawdown 51.13% 51.49%
VaR (99% Confidence) $-6,780 $-4,689
VaR (99.9% Confidence) $-9,006 $-6,229
Beta to Benchmark 0.96 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.93

Skew

-0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9348 0.9348
Style Factor -0.2359 -0.2359
Size Factor 0.0142 0.0142
U.S. Tilt (Non U.S.) 0.4918 0.4918

Adjusted R2

Portfolio 0.45
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution