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 (6y 5m 1d)

Returns (annualized)

Portfolio 28.10%
Benchmark 15.35%

Risk (annualized)

Portfolio 60.00%
Benchmark 20.21%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.67

Excess Return (annualized)

12.76%

Tracking Error (annualized)

57.63%

Information Ratio

0.22
Statistic Portfolio Benchmark
Downside Volatility 43.95% 21.45%
Sortino Ratio 0.86 0.64
Calmar Ratio 0.58 0.40
Ulcer Index 11.55 15.06
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-13,953 $-4,700
VaR (99.9% Confidence) $-18,535 $-6,243
Beta to Benchmark 0.84 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

158.02

Skew

8.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8383 0.9959 -0.1577
Style Factor -0.1857 0.0228 -0.2085
Size Factor 0.2463 -0.0554 0.3017
U.S. Tilt (Non U.S.) 0.0302 0.3840 -0.3538

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution