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)

Returns (annualized)

Portfolio 24.15%
Benchmark 16.37%

Risk (annualized)

Portfolio 50.64%
Benchmark 20.76%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.71

Excess Return (annualized)

7.78%

Tracking Error (annualized)

47.58%

Information Ratio

0.16
Statistic Portfolio Benchmark
Downside Volatility 42.50% 22.03%
Sortino Ratio 0.73 0.67
Calmar Ratio 0.48 0.44
Ulcer Index 11.41 15.00
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-11,777 $-4,828
VaR (99.9% Confidence) $-15,644 $-6,413
Beta to Benchmark 0.85 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

49.35

Skew

3.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8211 0.9959 -0.1748
Style Factor -0.2536 0.0233 -0.2769
Size Factor 0.3633 -0.0556 0.4188
U.S. Tilt (Non U.S.) 0.0517 0.3847 -0.3330

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution