FDA Tax Portfolio

63c561e557feef108efd08a4

Tells the algorithm how often to rebalance to the policy weights. In between rebalancing, asset weights can change due to return drift.

Tells the back test what factors should be used to help explain portfolio performance.

Set the start and end times for the back test.

If the "Start Date" input is empty, the back test will start on the least recent date possible.

If the "End Date" input is empty, the back test will end on the most recent date possible.

Clear both date input boxes to get the longest possible back-test.

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.