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 4m 2d)

Returns (annualized)

Portfolio 15.50%
Benchmark 15.00%

Risk (annualized)

Portfolio 50.34%
Benchmark 18.22%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.73

Excess Return (annualized)

0.50%

Tracking Error (annualized)

45.43%

Information Ratio

0.01
Statistic Portfolio Benchmark
Downside Volatility 46.41% 19.46%
Sortino Ratio 0.53 0.69
Calmar Ratio 0.36 0.40
Ulcer Index 10.34 15.19
Max Drawdown 68.68% 33.70%
VaR (99% Confidence) $-11,708 $-4,237
VaR (99.9% Confidence) $-15,553 $-5,629
Beta to Benchmark 1.21 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

9.00

Skew

0.52
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0263 0.9970 0.0294
Style Factor -0.5260 0.0224 -0.5484
Size Factor 0.9049 -0.0537 0.9586
U.S. Tilt (Non U.S.) 0.2515 0.3970 -0.1455

Adjusted R2

Portfolio 0.23
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution