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 2023-01-27 Equity
Benchmark
SPY S&P 500 ETF TRUST ETF 1999-11-02 2023-01-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.78 -1.45 -4.25 -2.36 -4.91 -1.26 -6.12 0.51 10.56 1999-11-02
Benchmark 1.11 3.65 4.94 5.55 -4.23 7.51 7.56 10.45 5.63 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI 0.32 0.63 0.71 14.30 15.53 16.20 14.90 22.12 1999-11-02
Benchmark 0.65 0.86 1.14 20.45 20.82 17.97 14.52 17.30 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
BTI -0.45 -0.10 -0.55 0.06 1.02 1999-11-02
Benchmark -0.33 0.75 0.72 0.93 0.54 1999-11-02

Correlation Matrix

BTI
BTI 1
Documentation

Policy Report

Expected Risk

22.12%

Unique Bets

1

Back Test Report

Key Statistics

Returns

Portfolio
-3.95%
Benchmark
9.55%

Risk

Portfolio
16.01%
Benchmark
16.79%

Sharpe Ratio

Portfolio
-0.39
Benchmark
0.42

Excess Returns

-13.5%

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

Report Calculation Metrics

The report was run on 2023-01-30 and took 52.088397169s to complete.