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 1m 2d)

Returns (annualized)

Portfolio 12.75%
Benchmark 14.82%

Risk (annualized)

Portfolio 49.07%
Benchmark 18.37%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.72

Excess Return (annualized)

-2.07%

Tracking Error (annualized)

43.97%

Information Ratio

-0.05
Statistic Portfolio Benchmark
Downside Volatility 46.13% 19.58%
Sortino Ratio 0.47 0.68
Calmar Ratio 0.32 0.39
Ulcer Index 10.30 15.17
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,411 $-4,271
VaR (99.9% Confidence) $-15,159 $-5,674
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

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0193 0.9968 0.0225
Style Factor -0.5513 0.0226 -0.5739
Size Factor 0.9069 -0.0537 0.9607
U.S. Tilt (Non U.S.) 0.2547 0.3977 -0.1430

Adjusted R2

Portfolio 0.24
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution