Pharma

Portfolio Specification

Assets

BioNTech SE (BNTX)
Astrazeneca plc (AZN)
uniQure N.V. (QURE)

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 (5y 11m 28d)

Returns (annualized)

Portfolio 38.31%
Benchmark 16.59%

Risk (annualized)

Portfolio 60.59%
Benchmark 20.64%

Sharpe (annualized)

Portfolio 0.75
Benchmark 0.72

Excess Return (annualized)

21.72%

Tracking Error (annualized)

58.20%

Information Ratio

0.37
Statistic Portfolio Benchmark
Downside Volatility 42.42% 21.89%
Sortino Ratio 1.07 0.68
Calmar Ratio 0.70 0.44
Ulcer Index 11.46 15.01
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-14,090 $-4,798
VaR (99.9% Confidence) $-18,717 $-6,374
Beta to Benchmark 0.83 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

161.86

Skew

8.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8166 0.9960 -0.1794
Style Factor -0.1957 0.0233 -0.2191
Size Factor 0.2988 -0.0558 0.3546
U.S. Tilt (Non U.S.) 0.0890 0.3845 -0.2955

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution