FDA Tax Portfolio

Portfolio Specification

Assets

Big Tobacco
Pharma
Lindy Life Sci
“Moaty” MedTech
Services

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (6y 5m 1d)

Returns (annualized)

Portfolio 21.49%
Benchmark 13.33%

Risk (annualized)

Portfolio 26.77%
Benchmark 19.12%

Sharpe (annualized)

Portfolio 0.76
Benchmark 0.61

Excess Return (annualized)

8.16%

Tracking Error (annualized)

19.66%

Information Ratio

0.42
Statistic Portfolio Benchmark
Downside Volatility 24.60% 20.52%
Sortino Ratio 0.83 0.57
Calmar Ratio 0.50 0.34
Ulcer Index 13.79 15.01
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-6,225 $-4,446
VaR (99.9% Confidence) $-8,270 $-5,906
Beta to Benchmark 0.95 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

20.57

Skew

1.59
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8707 0.9973 -0.1266
Style Factor -0.2145 0.0413 -0.2558
Size Factor 0.3020 0.0144 0.2877
U.S. Tilt (Non U.S.) 0.1034 -0.0052 0.1087
Emerging (Developed) Factor -0.0584 -0.0179 -0.0405
High Beta (Low Beta) -0.2520 0.0273 -0.2793

Adjusted R2

Portfolio 0.50
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution