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 4m 9d)

Returns (annualized)

Portfolio 15.67%
Benchmark 14.74%

Risk (annualized)

Portfolio 50.30%
Benchmark 18.21%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.72

Excess Return (annualized)

0.93%

Tracking Error (annualized)

45.40%

Information Ratio

0.02
Statistic Portfolio Benchmark
Downside Volatility 46.36% 19.44%
Sortino Ratio 0.54 0.68
Calmar Ratio 0.36 0.39
Ulcer Index 10.34 15.19
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,699 $-4,235
VaR (99.9% Confidence) $-15,540 $-5,626
Beta to Benchmark 1.21 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.01

Skew

0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0241 0.9969 0.0271
Style Factor -0.5268 0.0224 -0.5492
Size Factor 0.9048 -0.0537 0.9585
U.S. Tilt (Non U.S.) 0.2529 0.3971 -0.1442

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution