“Moaty” MedTech

Portfolio Specification

Assets

Edwards Lifesciences Corp (EW)
Intuitive Surgical Inc (ISRG)

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 19.62%
Benchmark 11.49%

Risk (annualized)

Portfolio 28.82%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.72
Benchmark 0.58

Excess Return (annualized)

8.13%

Tracking Error (annualized)

21.62%

Information Ratio

0.38
Statistic Portfolio Benchmark
Downside Volatility 28.99% 21.07%
Sortino Ratio 0.72 0.55
Calmar Ratio 0.41 0.22
Ulcer Index 14.23 14.90
Max Drawdown 51.13% 51.49%
VaR (99% Confidence) $-6,703 $-4,615
VaR (99.9% Confidence) $-8,905 $-6,130
Beta to Benchmark 0.96 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

10.00

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9321 0.9820 -0.0498
Style Factor -0.2094 0.0125 -0.2219
Size Factor 0.0045 -0.0572 0.0617
U.S. Tilt (Non U.S.) 0.4836 0.4001 0.0835

Adjusted R2

Portfolio 0.44
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution