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)

Policy Report

Backtest Report

From to (5y 8m 16d)

Returns (annualized)

Portfolio 22.63%
Benchmark 15.64%

Risk (annualized)

Portfolio 51.32%
Benchmark 21.06%

Sharpe (annualized)

Portfolio 0.59
Benchmark 0.67

Excess Return (annualized)

6.98%

Tracking Error (annualized)

48.20%

Information Ratio

0.14
Statistic Portfolio Benchmark
Downside Volatility 42.94% 22.38%
Sortino Ratio 0.71 0.63
Calmar Ratio 0.46 0.42
Ulcer Index 11.33 14.97
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-11,934 $-4,898
VaR (99.9% Confidence) $-15,852 $-6,506
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

48.46

Skew

3.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8205 0.8205
Style Factor -0.2632 -0.2632
Size Factor 0.3561 0.3561
U.S. Tilt (Non U.S.) 0.0610 0.0610

Adjusted R2

Portfolio 0.17
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution