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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 5m 10d)

Returns (annualized)

Portfolio 8.27%
Benchmark 11.71%

Risk (annualized)

Portfolio 24.62%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.59

Excess Return (annualized)

-3.44%

Tracking Error (annualized)

22.16%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 25.18% 21.26%
Sortino Ratio 0.39 0.56
Calmar Ratio 0.17 0.23
Ulcer Index 13.32 14.88
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,727 $-4,657
VaR (99.9% Confidence) $-7,607 $-6,186
Beta to Benchmark 0.64 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

10.35

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6774 0.9819 -0.3046
Style Factor 0.3054 0.0125 0.2929
Size Factor -0.1504 -0.0576 -0.0929
U.S. Tilt (Non U.S.) -0.2100 0.4007 -0.6107

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution