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 11m 11d)

Returns (annualized)

Portfolio 14.81%
Benchmark 11.49%

Risk (annualized)

Portfolio 25.18%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.58

Excess Return (annualized)

3.32%

Tracking Error (annualized)

18.78%

Information Ratio

0.18
Statistic Portfolio Benchmark
Downside Volatility 25.63% 21.07%
Sortino Ratio 0.61 0.55
Calmar Ratio 0.34 0.22
Ulcer Index 14.09 14.90
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,857 $-4,615
VaR (99.9% Confidence) $-7,780 $-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 0.8203 0.9820 -0.1617
Style Factor -0.1337 0.0125 -0.1462
Size Factor 0.1202 -0.0572 0.1774
U.S. Tilt (Non U.S.) 0.3959 0.4001 -0.0042

Adjusted R2

Portfolio 0.46
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution