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 5m 10d)

Returns (annualized)

Portfolio 15.79%
Benchmark 11.71%

Risk (annualized)

Portfolio 25.14%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.66
Benchmark 0.59

Excess Return (annualized)

4.07%

Tracking Error (annualized)

18.59%

Information Ratio

0.22
Statistic Portfolio Benchmark
Downside Volatility 25.67% 21.26%
Sortino Ratio 0.65 0.56
Calmar Ratio 0.36 0.23
Ulcer Index 14.15 14.88
Max Drawdown 46.48% 51.49%
VaR (99% Confidence) $-5,847 $-4,657
VaR (99.9% Confidence) $-7,767 $-6,186
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

9.39

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8204 0.9819 -0.1615
Style Factor -0.1511 0.0125 -0.1636
Size Factor 0.1148 -0.0576 0.1724
U.S. Tilt (Non U.S.) 0.3989 0.4007 -0.0018

Adjusted R2

Portfolio 0.47
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution