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 8m 30d)

Returns (annualized)

Portfolio 8.22%
Benchmark 11.77%

Risk (annualized)

Portfolio 24.52%
Benchmark 19.91%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.59

Excess Return (annualized)

-3.55%

Tracking Error (annualized)

22.13%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 25.05% 21.15%
Sortino Ratio 0.38 0.56
Calmar Ratio 0.17 0.23
Ulcer Index 13.34 14.89
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,704 $-4,630
VaR (99.9% Confidence) $-7,577 $-6,151
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

10.34

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6768 0.9820 -0.3052
Style Factor 0.3103 0.0124 0.2978
Size Factor -0.1530 -0.0574 -0.0956
U.S. Tilt (Non U.S.) -0.2095 0.4004 -0.6100

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution