Big Tobacco

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Equal Weights

Assets

British American Tobacco Plc (BTI)

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From 2008-04-01 to 2024-04-18 (16y 17d)

Returns (annualized)

Portfolio	3.81%
Benchmark	10.77%

Risk (annualized)

Portfolio	24.99%
Benchmark	20.18%

Sharpe (annualized)

Portfolio	0.24
Benchmark	0.56

Excess Return (annualized)

-6.96%

Tracking Error (annualized)

21.80%

Risk Free Rate (annualized)

0.97%

Growth Charts

Return Distribution

Excess Kurtosis

10.40

Skew

0.16

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Market Factor	0.6949	0.6949
Style Factor	0.2586	0.2586
Size Factor	-0.1404	-0.1404
U.S. Tilt (Non U.S.)	-0.1826	-0.1826

Adjusted R²

Portfolio	0.35
Benchmark	0.97

Intercept

Portfolio	0.00
Benchmark	0.00

Factor Attribution