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 (18y 1d)

Returns (annualized)

Portfolio 8.36%
Benchmark 11.37%

Risk (annualized)

Portfolio 24.53%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.58

Excess Return (annualized)

-3.01%

Tracking Error (annualized)

22.16%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 25.10% 21.06%
Sortino Ratio 0.39 0.54
Calmar Ratio 0.17 0.22
Ulcer Index 13.37 14.90
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,705 $-4,615
VaR (99.9% Confidence) $-7,578 $-6,130
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

10.20

Skew

0.10
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6769 0.9821 -0.3051
Style Factor 0.3119 0.0123 0.2996
Size Factor -0.1543 -0.0571 -0.0971
U.S. Tilt (Non U.S.) -0.2126 0.3998 -0.6125

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution