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 6m 8d)

Returns (annualized)

Portfolio 15.99%
Benchmark 11.81%

Risk (annualized)

Portfolio 25.17%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.67
Benchmark 0.60

Excess Return (annualized)

4.19%

Tracking Error (annualized)

18.66%

Information Ratio

0.22
Statistic Portfolio Benchmark
Downside Volatility 25.64% 21.21%
Sortino Ratio 0.65 0.56
Calmar Ratio 0.36 0.23
Ulcer Index 14.14 14.88
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,854 $-4,647
VaR (99.9% Confidence) $-7,776 $-6,174
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

9.34

Skew

-0.25
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8208 0.9819 -0.1612
Style Factor -0.1491 0.0125 -0.1616
Size Factor 0.1155 -0.0576 0.1731
U.S. Tilt (Non U.S.) 0.3963 0.4006 -0.0043

Adjusted R2

Portfolio 0.47
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution