Lindy Life Sci

Portfolio Specification

Assets

West Pharmaceutical Services Inc (WST)
Thermo Fisher Scientific Inc (TMO)

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 (17y 8m 10d)

Returns (annualized)

Portfolio 16.20%
Benchmark 11.85%

Risk (annualized)

Portfolio 25.17%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.60

Excess Return (annualized)

4.35%

Tracking Error (annualized)

18.73%

Information Ratio

0.23
Statistic Portfolio Benchmark
Downside Volatility 25.57% 21.18%
Sortino Ratio 0.66 0.56
Calmar Ratio 0.36 0.23
Ulcer Index 14.12 14.89
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,854 $-4,635
VaR (99.9% Confidence) $-7,776 $-6,158
Beta to Benchmark 0.86 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.27

Skew

-0.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8191 0.9820 -0.1628
Style Factor -0.1389 0.0124 -0.1514
Size Factor 0.1171 -0.0574 0.1745
U.S. Tilt (Non U.S.) 0.3961 0.4004 -0.0043

Adjusted R2

Portfolio 0.46
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution