Big Tobacco

63c55df057feef108efd0899

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
BTI British American Tobacco Plc 1999-11-02 2023-03-24 Equity
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-03-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.88 -1.04 -4.08 -6.97 -7.10 6.98 -3.39 -0.23 10.35 1999-11-02
Benchmark 0.77 0.24 -0.71 3.11 -8.05 18.61 9.02 9.89 5.52 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI 1.11 0.70 0.65 12.91 14.14 15.93 14.89 22.07 1999-11-02
Benchmark 1.01 0.96 0.90 19.65 17.65 17.84 14.59 17.29 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.68 0.63 -0.29 -0.01 1.00 1999-11-02
Benchmark -0.71 1.61 0.84 0.88 0.53 1999-11-02

Correlation Matrix

BTI
BTI 1
Documentation

Policy Report

Expected Risk

22.07%

Unique Bets

1

Back Test Report

Key Statistics

Returns

Portfolio
-3.96%
Benchmark
9.55%

Risk

Portfolio
16.01%
Benchmark
16.79%

Sharpe Ratio

Portfolio
-0.39
Benchmark
0.42

Excess Returns

-13.51%

Tracking Error

17.23%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.6

Skew

-0.33

Excess Kurtosis

2.5

Excess Skew

-0.04

Documentation

Factor Analysis

Factor Coefficients

Intercept

-0.0002

Adjusted R2

0.28

Documentation

Factor Attribution

Documentation