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 1d)

Returns (annualized)

Portfolio 15.18%
Benchmark 11.37%

Risk (annualized)

Portfolio 25.17%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.58

Excess Return (annualized)

3.82%

Tracking Error (annualized)

18.77%

Information Ratio

0.20
Statistic Portfolio Benchmark
Downside Volatility 25.62% 21.06%
Sortino Ratio 0.62 0.54
Calmar Ratio 0.34 0.22
Ulcer Index 14.08 14.90
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,853 $-4,615
VaR (99.9% Confidence) $-7,775 $-6,130
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

9.12

Skew

-0.24
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8196 0.9821 -0.1624
Style Factor -0.1310 0.0123 -0.1433
Size Factor 0.1200 -0.0571 0.1772
U.S. Tilt (Non U.S.) 0.3978 0.3998 -0.0020

Adjusted R2

Portfolio 0.46
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution