“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)

Policy Report

Backtest Report

From to (17y 3m 9d)

Returns (annualized)

Portfolio 20.47%
Benchmark 11.52%

Risk (annualized)

Portfolio 29.05%
Benchmark 20.10%

Sharpe (annualized)

Portfolio 0.74
Benchmark 0.58

Excess Return (annualized)

8.95%

Tracking Error (annualized)

21.66%

Information Ratio

0.41
Statistic Portfolio Benchmark
Downside Volatility 29.32% 21.35%
Sortino Ratio 0.74 0.55
Calmar Ratio 0.42 0.23
Ulcer Index 14.21 14.87
Max Drawdown 51.13% 51.49%
VaR (99% Confidence) $-6,758 $-4,675
VaR (99.9% Confidence) $-8,977 $-6,211
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

9.97

Skew

-0.04
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.9343 0.9343
Style Factor -0.2340 -0.2340
Size Factor 0.0104 0.0104
U.S. Tilt (Non U.S.) 0.4891 0.4891

Adjusted R2

Portfolio 0.45
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution