FDA Tax Portfolio

63c561e557feef108efd08a4

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
63c55df057feef108efd0899 Big Tobacco 1999-11-02 2023-01-27 Portfolio
63c55f2b57feef108efd089c Pharma 2019-10-11 2023-01-27 Portfolio
63c55fa557feef108efd089e Lindy Life Sci 1999-11-02 2023-01-27 Portfolio
63c5604157feef108efd08a0 “Moaty” MedTech 2000-06-19 2023-01-27 Portfolio
63c560ce57feef108efd08a2 Services 2016-08-09 2023-01-27 Portfolio
Benchmark
SPGM SPDR(R) PORTFOLIO MSCI GLOBAL STOCK MARKET ETF 2012-03-06 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
Big Tobacco -0.78 -1.45 -4.25 -2.36 -4.91 -1.26 -6.12 0.51 10.56 1999-11-02
Pharma -0.78 -1.09 -10.10 8.92 8.42 12.77 31.14 2019-10-11
Lindy Life Sci 1.43 1.85 10.06 9.96 -13.49 20.26 21.63 23.71 16.30 1999-11-02
“Moaty” MedTech 0.97 -1.20 -0.13 -1.82 -15.41 5.42 12.90 17.28 25.33 2000-06-19
Services 3.38 2.67 17.75 4.86 -1.66 29.06 31.16 18.92 2016-08-09
Benchmark 0.81 3.15 6.65 9.52 -5.09 5.40 4.40 8.00 7.92 2012-03-06
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Big Tobacco 0.32 0.63 0.71 14.30 15.53 16.20 14.90 22.12 1999-11-02
Pharma 0.89 1.63 1.84 39.52 49.05 49.22 2019-10-11
Lindy Life Sci 1.94 1.74 2.34 33.45 30.25 26.50 21.99 23.25 1999-11-02
“Moaty” MedTech 1.58 1.39 2.00 37.70 35.83 32.39 27.88 33.43 2000-06-19
Services 2.29 2.50 2.31 51.06 50.57 46.56 49.60 2016-08-09
Benchmark 0.56 0.79 1.08 19.66 20.70 17.86 16.58 16.50 2012-03-06
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
Big Tobacco -0.45 -0.10 -0.55 0.06 1.02 1999-11-02
Pharma 1.24 1.92 3.32 2019-10-11
Lindy Life Sci -1.02 1.95 1.98 2.06 1.51 1999-11-02
“Moaty” MedTech -1.10 0.87 1.41 1.67 2.40 2000-06-19
Services 0.74 3.23 3.22 2.45 2016-08-09
Benchmark -0.42 0.56 0.44 0.74 0.73 2012-03-06

Correlation Matrix

Big Tobacco Pharma Lindy Life Sci “Moaty” MedTech Services
Big Tobacco 1 0.19 0.29 0.39 0.21
Pharma 0.19 1 0.42 0.31 0.27
Lindy Life Sci 0.29 0.42 1 0.64 0.5
“Moaty” MedTech 0.39 0.31 0.64 1 0.53
Services 0.21 0.27 0.5 0.53 1
Documentation

Policy Report

Expected Risk

25.68%

Unique Bets

2.53

Back Test Report

Key Statistics

Returns

Portfolio
24.32%
Benchmark
7.23%

Risk

Portfolio
26.21%
Benchmark
19.97%

Sharpe Ratio

Portfolio
0.87
Benchmark
0.33

Excess Returns

17.09%

Tracking Error

17.29%

Risk Free Rate

2.47%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.12

Skew

0.06

Excess Kurtosis

4.27

Excess Skew

0.23

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0006

Adjusted R2

0.65

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 15.267917221s to complete.