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 10m 17d)

Returns (annualized)

Portfolio 13.21%
Benchmark 14.27%

Risk (annualized)

Portfolio 49.31%
Benchmark 18.53%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.70

Excess Return (annualized)

-1.06%

Tracking Error (annualized)

44.18%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 46.49% 19.76%
Sortino Ratio 0.48 0.65
Calmar Ratio 0.33 0.38
Ulcer Index 10.34 15.16
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,468 $-4,309
VaR (99.9% Confidence) $-15,234 $-5,724
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

6.33

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0144 1.0144
Style Factor -0.5700 -0.5700
Size Factor 0.8904 0.8904
U.S. Tilt (Non U.S.) 0.2551 0.2551

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution