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 to (16y 6m 17d)

Returns (annualized)

Portfolio 5.10%
Benchmark 11.52%

Risk (annualized)

Portfolio 24.77%
Benchmark 20.00%

Sharpe (annualized)

Portfolio 0.28
Benchmark 0.59

Excess Return (annualized)

-6.42%

Tracking Error (annualized)

21.74%

Information Ratio

-0.30
Statistic Portfolio Benchmark
Downside Volatility 25.28% 21.29%
Sortino Ratio 0.28 0.55
Calmar Ratio 0.12 0.23
Ulcer Index 13.22 14.85
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,762 $-4,653
VaR (99.9% Confidence) $-7,654 $-6,180
Beta to Benchmark 0.68 N/A

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

Growth Charts

Return Distribution

Excess Kurtosis

10.50

Skew

0.15
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6922 0.6922
Style Factor 0.2772 0.2772
Size Factor -0.1423 -0.1423
U.S. Tilt (Non U.S.) -0.1829 -0.1829

Adjusted R2

Portfolio 0.35
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution