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 26d)

Returns (annualized)

Portfolio 31.03%
Benchmark 16.53%

Risk (annualized)

Portfolio 60.17%
Benchmark 20.39%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.72

Excess Return (annualized)

14.51%

Tracking Error (annualized)

57.81%

Information Ratio

0.25
Statistic Portfolio Benchmark
Downside Volatility 43.24% 21.69%
Sortino Ratio 0.93 0.68
Calmar Ratio 0.61 0.44
Ulcer Index 11.52 15.04
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-13,992 $-4,742
VaR (99.9% Confidence) $-18,586 $-6,299
Beta to Benchmark 0.83 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

160.67

Skew

8.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8175 0.9960 -0.1786
Style Factor -0.1724 0.0229 -0.1953
Size Factor 0.2816 -0.0555 0.3371
U.S. Tilt (Non U.S.) 0.1006 0.3841 -0.2835

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution