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 2m)

Returns (annualized)

Portfolio 30.59%
Benchmark 16.58%

Risk (annualized)

Portfolio 60.46%
Benchmark 20.47%

Sharpe (annualized)

Portfolio 0.66
Benchmark 0.72

Excess Return (annualized)

14.00%

Tracking Error (annualized)

58.09%

Information Ratio

0.24
Statistic Portfolio Benchmark
Downside Volatility 43.42% 21.79%
Sortino Ratio 0.92 0.68
Calmar Ratio 0.61 0.44
Ulcer Index 11.52 15.03
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-14,061 $-4,761
VaR (99.9% Confidence) $-18,678 $-6,324
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

159.14

Skew

8.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8197 0.9961 -0.1764
Style Factor -0.1732 0.0230 -0.1962
Size Factor 0.2832 -0.0555 0.3387
U.S. Tilt (Non U.S.) 0.0964 0.3840 -0.2876

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution