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 2m)

Returns (annualized)

Portfolio 19.78%
Benchmark 14.98%

Risk (annualized)

Portfolio 50.24%
Benchmark 18.29%

Sharpe (annualized)

Portfolio 0.56
Benchmark 0.73

Excess Return (annualized)

4.80%

Tracking Error (annualized)

45.32%

Information Ratio

0.11
Statistic Portfolio Benchmark
Downside Volatility 46.06% 19.49%
Sortino Ratio 0.62 0.69
Calmar Ratio 0.41 0.40
Ulcer Index 10.31 15.18
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,685 $-4,254
VaR (99.9% Confidence) $-15,522 $-5,651
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

9.22

Skew

0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0202 0.9969 0.0233
Style Factor -0.5369 0.0227 -0.5596
Size Factor 0.9079 -0.0539 0.9618
U.S. Tilt (Non U.S.) 0.2588 0.3975 -0.1387

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution