FDA Tax Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
Big Tobacco
Pharma
Lindy Life Sci
“Moaty” MedTech
Services
Benchmark
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Policy Report

Backtest Report

From to (4y 6m 7d)

Returns (annualized)

Portfolio 15.97%
Benchmark 10.81%

Risk (annualized)

Portfolio 25.47%
Benchmark 20.54%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.50

Excess Return (annualized)

5.17%

Tracking Error (annualized)

16.46%

Risk Free Rate (annualized)

2.07%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.31

Skew

0.09
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8545 0.8545
Style Factor -0.2733 -0.2733
Size Factor 0.2906 0.2906
U.S. Tilt (Non U.S.) 0.1185 0.1185
Emerging (Developed) Factor -0.0640 -0.0640
High Beta (Low Beta) -0.2268 -0.2268

Adjusted R2

Portfolio 0.65
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution