Big Tobacco

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (15y 11m 25d)

Returns (annualized)

Portfolio 4.06%
Benchmark 11.07%

Risk (annualized)

Portfolio 25.02%
Benchmark 20.21%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.57

Excess Return (annualized)

-7.01%

Tracking Error (annualized)

21.83%

Risk Free Rate (annualized)

0.96%

Growth Charts

Return Distribution

Excess Kurtosis

10.39

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6946 0.6946
Style Factor 0.2570 0.2570
Size Factor -0.1421 -0.1421
U.S. Tilt (Non U.S.) -0.1830 -0.1830

Adjusted R2

Portfolio 0.35
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution