Big Tobacco

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 6m 8d)

Returns (annualized)

Portfolio 7.65%
Benchmark 11.81%

Risk (annualized)

Portfolio 24.59%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.37
Benchmark 0.60

Excess Return (annualized)

-4.16%

Tracking Error (annualized)

22.15%

Information Ratio

-0.19
Statistic Portfolio Benchmark
Downside Volatility 25.12% 21.21%
Sortino Ratio 0.36 0.56
Calmar Ratio 0.16 0.23
Ulcer Index 13.32 14.88
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,720 $-4,647
VaR (99.9% Confidence) $-7,598 $-6,174
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

10.35

Skew

0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6774 0.9819 -0.3045
Style Factor 0.3075 0.0125 0.2950
Size Factor -0.1530 -0.0576 -0.0954
U.S. Tilt (Non U.S.) -0.2084 0.4006 -0.6090

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution