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 6m 30d)

Returns (annualized)

Portfolio 7.60%
Benchmark 11.86%

Risk (annualized)

Portfolio 24.56%
Benchmark 19.97%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.60

Excess Return (annualized)

-4.26%

Tracking Error (annualized)

22.15%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 25.10% 21.21%
Sortino Ratio 0.36 0.56
Calmar Ratio 0.16 0.23
Ulcer Index 13.32 14.89
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,713 $-4,644
VaR (99.9% Confidence) $-7,590 $-6,169
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

10.36

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6765 0.9819 -0.3054
Style Factor 0.3093 0.0125 0.2968
Size Factor -0.1555 -0.0574 -0.0980
U.S. Tilt (Non U.S.) -0.2098 0.4004 -0.6102

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution