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 7m 10d)

Returns (annualized)

Portfolio 11.56%
Benchmark 14.08%

Risk (annualized)

Portfolio 50.37%
Benchmark 18.08%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.69

Excess Return (annualized)

-2.52%

Tracking Error (annualized)

45.46%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 46.72% 19.27%
Sortino Ratio 0.45 0.65
Calmar Ratio 0.31 0.37
Ulcer Index 10.36 15.20
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,714 $-4,204
VaR (99.9% Confidence) $-15,561 $-5,584
Beta to Benchmark 1.22 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.78

Skew

0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0429 0.9971 0.0459
Style Factor -0.5400 0.0222 -0.5622
Size Factor 0.9043 -0.0537 0.9580
U.S. Tilt (Non U.S.) 0.2021 0.3963 -0.1942

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution