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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (9y 7m 3d)

Returns (annualized)

Portfolio 12.89%
Benchmark 14.22%

Risk (annualized)

Portfolio 50.36%
Benchmark 18.08%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.70

Excess Return (annualized)

-1.34%

Tracking Error (annualized)

45.46%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 46.68% 19.28%
Sortino Ratio 0.48 0.66
Calmar Ratio 0.33 0.38
Ulcer Index 10.36 15.20
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,713 $-4,206
VaR (99.9% Confidence) $-15,559 $-5,587
Beta to Benchmark 1.22 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.80

Skew

0.49
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0399 0.9969 0.0430
Style Factor -0.5392 0.0223 -0.5615
Size Factor 0.9072 -0.0537 0.9609
U.S. Tilt (Non U.S.) 0.2049 0.3966 -0.1917

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution