Pharma

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (4y 8m 6d)

Returns (annualized)

Portfolio 9.81%
Benchmark 16.03%

Risk (annualized)

Portfolio 45.19%
Benchmark 21.24%

Sharpe (annualized)

Portfolio 0.38
Benchmark 0.71

Excess Return (annualized)

-6.23%

Tracking Error (annualized)

41.83%

Risk Free Rate (annualized)

2.18%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

21.27

Skew

0.97
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8186 0.8186
Style Factor -0.2739 -0.2739
Size Factor 0.2724 0.2724
U.S. Tilt (Non U.S.) 0.0327 0.0327

Adjusted R2

Portfolio 0.20
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution