Services

Portfolio Specification

Assets

ClearPoint Neuro Inc (CLPT)
Charles River Laboratories International Inc (CRL)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (8y 10m 18d)

Returns (annualized)

Portfolio 13.02%
Benchmark 14.33%

Risk (annualized)

Portfolio 49.30%
Benchmark 18.52%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.70

Excess Return (annualized)

-1.31%

Tracking Error (annualized)

44.17%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 46.47% 19.76%
Sortino Ratio 0.48 0.65
Calmar Ratio 0.32 0.38
Ulcer Index 10.34 15.16
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,466 $-4,308
VaR (99.9% Confidence) $-15,232 $-5,723
Beta to Benchmark 1.20 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.33

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0140 1.0140
Style Factor -0.5699 -0.5699
Size Factor 0.8909 0.8909
U.S. Tilt (Non U.S.) 0.2552 0.2552

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution