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 3m 9d)

Returns (annualized)

Portfolio 7.61%
Benchmark 11.52%

Risk (annualized)

Portfolio 24.68%
Benchmark 20.10%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.58

Excess Return (annualized)

-3.91%

Tracking Error (annualized)

22.17%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 25.21% 21.35%
Sortino Ratio 0.36 0.55
Calmar Ratio 0.16 0.23
Ulcer Index 13.29 14.87
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,740 $-4,675
VaR (99.9% Confidence) $-7,625 $-6,211
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

10.35

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6776 0.6776
Style Factor 0.3057 0.3057
Size Factor -0.1441 -0.1441
U.S. Tilt (Non U.S.) -0.2086 -0.2086

Adjusted R2

Portfolio 0.34
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution