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 2m)

Returns (annualized)

Portfolio 24.14%
Benchmark 14.02%

Risk (annualized)

Portfolio 26.91%
Benchmark 19.32%

Sharpe (annualized)

Portfolio 0.84
Benchmark 0.64

Excess Return (annualized)

10.12%

Tracking Error (annualized)

19.75%

Information Ratio

0.51
Statistic Portfolio Benchmark
Downside Volatility 24.57% 20.73%
Sortino Ratio 0.92 0.60
Calmar Ratio 0.56 0.36
Ulcer Index 13.76 14.99
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-6,257 $-4,493
VaR (99.9% Confidence) $-8,311 $-5,968
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

20.90

Skew

1.63
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8584 0.9969 -0.1385
Style Factor -0.2164 0.0405 -0.2570
Size Factor 0.3138 0.0143 0.2995
U.S. Tilt (Non U.S.) 0.1228 -0.0047 0.1274
Emerging (Developed) Factor -0.0618 -0.0190 -0.0428
High Beta (Low Beta) -0.2644 0.0273 -0.2917

Adjusted R2

Portfolio 0.51
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution