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 22d)

Returns (annualized)

Portfolio 28.40%
Benchmark 14.97%

Risk (annualized)

Portfolio 59.81%
Benchmark 20.20%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.66

Excess Return (annualized)

13.43%

Tracking Error (annualized)

57.40%

Information Ratio

0.23
Statistic Portfolio Benchmark
Downside Volatility 43.89% 21.42%
Sortino Ratio 0.86 0.62
Calmar Ratio 0.58 0.39
Ulcer Index 11.54 15.06
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-13,910 $-4,698
VaR (99.9% Confidence) $-18,478 $-6,241
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

158.51

Skew

8.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8416 0.9961 -0.1545
Style Factor -0.1903 0.0227 -0.2130
Size Factor 0.2458 -0.0554 0.3012
U.S. Tilt (Non U.S.) 0.0274 0.3835 -0.3561

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution