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 2023-05-24 Equity
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-05-24 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI 0.96 0.23 -3.67 -6.21 -11.60 -0.39 -2.71 -0.92 10.17 1999-11-02
Benchmark -1.55 0.17 -0.23 2.49 4.39 11.17 8.66 9.68 5.62 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI 0.71 0.59 0.61 12.30 12.89 15.65 14.89 22.00 1999-11-02
Benchmark 0.77 0.76 0.77 17.71 15.86 17.78 14.60 17.25 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -1.14 -0.03 -0.23 -0.07 0.99 1999-11-02
Benchmark 0.44 1.00 0.81 0.86 0.54 1999-11-02

Correlation Matrix

BTI
BTI 1
Documentation

Policy Report

Expected Risk

22%

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