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 2023-11-27 Equity
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-11-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.02 1.35 4.35 0.04 -9.68 0.45 1.45 -0.64 9.89 1999-11-02
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI 0.20 0.56 0.60 0.58 11.67 14.68 14.78 21.81 1999-11-02
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.95 0.04 0.15 -0.04 0.96 1999-11-02
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

BTI
BTI 1
Documentation

Policy Report

Expected Risk

21.81%

Unique Bets

1

Back Test Report

Key Statistics

Returns

Portfolio
2.45%
Benchmark
8.58%

Risk

Portfolio
17.75%
Benchmark
17%

Sharpe Ratio

Portfolio
0.09
Benchmark
0.43

Excess Returns

-6.13%

Tracking Error

16.31%

Risk Free Rate

2.42%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

13.98

Skew

0.24

Excess Kurtosis

4.36

Excess Skew

0.18

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.36

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Big Tobacco
benchmark:
    id: SPY
assets:
    - type: Security
      id: BTI
policy:
    rebalancing_interval: Quarterly
    weights_algorithm: EqualWeight
    weights_updating_interval: Never