“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 8m 10d)

Returns (annualized)

Portfolio 20.33%
Benchmark 11.85%

Risk (annualized)

Portfolio 28.92%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.74
Benchmark 0.60

Excess Return (annualized)

8.48%

Tracking Error (annualized)

21.69%

Information Ratio

0.39
Statistic Portfolio Benchmark
Downside Volatility 29.10% 21.18%
Sortino Ratio 0.74 0.56
Calmar Ratio 0.42 0.23
Ulcer Index 14.22 14.89
Max Drawdown 51.13% 51.49%
VaR (99% Confidence) $-6,727 $-4,635
VaR (99.9% Confidence) $-8,936 $-6,158
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

9.98

Skew

-0.02
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.9322 0.9820 -0.0498
Style Factor -0.2118 0.0124 -0.2242
Size Factor 0.0047 -0.0574 0.0621
U.S. Tilt (Non U.S.) 0.4834 0.4004 0.0830

Adjusted R2

Portfolio 0.44
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution