Services

Portfolio Specification

Assets

ClearPoint Neuro Inc (CLPT)
Charles River Laboratories International Inc (CRL)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (9y 1m 3d)

Returns (annualized)

Portfolio 12.13%
Benchmark 14.81%

Risk (annualized)

Portfolio 49.08%
Benchmark 18.36%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.72

Excess Return (annualized)

-2.68%

Tracking Error (annualized)

43.99%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 46.17% 19.57%
Sortino Ratio 0.46 0.68
Calmar Ratio 0.31 0.39
Ulcer Index 10.30 15.17
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,415 $-4,270
VaR (99.9% Confidence) $-15,164 $-5,672
Beta to Benchmark 1.20 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.31

Skew

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0197 0.9968 0.0229
Style Factor -0.5493 0.0226 -0.5719
Size Factor 0.9095 -0.0537 0.9632
U.S. Tilt (Non U.S.) 0.2545 0.3977 -0.1433

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution