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)

Policy Report

Backtest Report

From to (8y 8m 27d)

Returns (annualized)

Portfolio 12.29%
Benchmark 13.29%

Risk (annualized)

Portfolio 49.30%
Benchmark 18.59%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.65

Excess Return (annualized)

-0.99%

Tracking Error (annualized)

44.16%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 46.49% 19.85%
Sortino Ratio 0.46 0.61
Calmar Ratio 0.31 0.36
Ulcer Index 10.37 15.15
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,465 $-4,323
VaR (99.9% Confidence) $-15,230 $-5,742
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

6.42

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0143 1.0143
Style Factor -0.5880 -0.5880
Size Factor 0.8777 0.8777
U.S. Tilt (Non U.S.) 0.2301 0.2301

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution