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 24d)

Returns (annualized)

Portfolio 32.80%
Benchmark 16.50%

Risk (annualized)

Portfolio 60.83%
Benchmark 20.58%

Sharpe (annualized)

Portfolio 0.69
Benchmark 0.72

Excess Return (annualized)

16.31%

Tracking Error (annualized)

58.44%

Information Ratio

0.28
Statistic Portfolio Benchmark
Downside Volatility 43.57% 21.87%
Sortino Ratio 0.96 0.67
Calmar Ratio 0.64 0.44
Ulcer Index 11.51 15.02
Max Drawdown 65.48% 33.70%
VaR (99% Confidence) $-14,146 $-4,786
VaR (99.9% Confidence) $-18,792 $-6,358
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

157.90

Skew

8.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8175 0.9961 -0.1786
Style Factor -0.1908 0.0232 -0.2140
Size Factor 0.3048 -0.0555 0.3604
U.S. Tilt (Non U.S.) 0.0958 0.3840 -0.2882

Adjusted R2

Portfolio 0.10
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution