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)

Policy Report

Backtest Report

From to (5y 8m 29d)

Returns (annualized)

Portfolio 20.45%
Benchmark 12.94%

Risk (annualized)

Portfolio 25.76%
Benchmark 19.81%

Sharpe (annualized)

Portfolio 0.75
Benchmark 0.58

Excess Return (annualized)

7.51%

Tracking Error (annualized)

17.57%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 24.85% 21.17%
Sortino Ratio 0.78 0.55
Calmar Ratio 0.48 0.34
Ulcer Index 13.65 14.93
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-5,990 $-4,607
VaR (99.9% Confidence) $-7,957 $-6,120
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

5.82

Skew

0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8559 0.8559
Style Factor -0.2467 -0.2467
Size Factor 0.3209 0.3209
U.S. Tilt (Non U.S.) 0.1228 0.1228
Emerging (Developed) Factor -0.0613 -0.0613
High Beta (Low Beta) -0.2469 -0.2469

Adjusted R2

Portfolio 0.59
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution