Big Tobacco

Portfolio Specification

Assets

British American Tobacco Plc (BTI)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 1m 5d)

Returns (annualized)

Portfolio 6.76%
Benchmark 10.89%

Risk (annualized)

Portfolio 24.68%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.55

Excess Return (annualized)

-4.12%

Tracking Error (annualized)

22.10%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 25.24% 21.42%
Sortino Ratio 0.33 0.52
Calmar Ratio 0.15 0.22
Ulcer Index 13.26 14.86
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,740 $-4,689
VaR (99.9% Confidence) $-7,625 $-6,229
Beta to Benchmark 0.65 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

10.46

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6791 0.6791
Style Factor 0.3023 0.3023
Size Factor -0.1452 -0.1452
U.S. Tilt (Non U.S.) -0.2068 -0.2068

Adjusted R2

Portfolio 0.34
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution