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 2m 8d)

Returns (annualized)

Portfolio 18.98%
Benchmark 14.81%

Risk (annualized)

Portfolio 50.24%
Benchmark 18.30%

Sharpe (annualized)

Portfolio 0.55
Benchmark 0.72

Excess Return (annualized)

4.17%

Tracking Error (annualized)

45.30%

Information Ratio

0.09
Statistic Portfolio Benchmark
Downside Volatility 46.13% 19.51%
Sortino Ratio 0.60 0.68
Calmar Ratio 0.40 0.39
Ulcer Index 10.32 15.18
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,685 $-4,256
VaR (99.9% Confidence) $-15,523 $-5,654
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

9.20

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0231 0.9969 0.0261
Style Factor -0.5368 0.0226 -0.5594
Size Factor 0.8963 -0.0538 0.9501
U.S. Tilt (Non U.S.) 0.2549 0.3974 -0.1425

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution