Big Tobacco

Portfolio Specification

Assets

British American Tobacco Plc (BTI)

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 1m 7d)

Returns (annualized)

Portfolio 6.58%
Benchmark 10.95%

Risk (annualized)

Portfolio 24.68%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.56

Excess Return (annualized)

-4.37%

Tracking Error (annualized)

22.11%

Information Ratio

-0.20
Statistic Portfolio Benchmark
Downside Volatility 25.25% 21.42%
Sortino Ratio 0.33 0.52
Calmar Ratio 0.15 0.22
Ulcer Index 13.27 14.86
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,741 $-4,688
VaR (99.9% Confidence) $-7,626 $-6,227
Beta to Benchmark 0.65 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

10.45

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6791 0.6791
Style Factor 0.3025 0.3025
Size Factor -0.1466 -0.1466
U.S. Tilt (Non U.S.) -0.2082 -0.2082

Adjusted R2

Portfolio 0.34
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution