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 (18y 3m)

Returns (annualized)

Portfolio 16.34%
Benchmark 12.01%

Risk (annualized)

Portfolio 25.16%
Benchmark 19.77%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.60

Excess Return (annualized)

4.33%

Tracking Error (annualized)

18.87%

Information Ratio

0.23
Statistic Portfolio Benchmark
Downside Volatility 25.55% 20.98%
Sortino Ratio 0.66 0.57
Calmar Ratio 0.36 0.23
Ulcer Index 14.05 14.91
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,853 $-4,599
VaR (99.9% Confidence) $-7,774 $-6,110
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

9.01

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8172 0.9824 -0.1652
Style Factor -0.1203 0.0119 -0.1322
Size Factor 0.1231 -0.0571 0.1803
U.S. Tilt (Non U.S.) 0.4040 0.3986 0.0053

Adjusted R2

Portfolio 0.45
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution