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 24d)

Returns (annualized)

Portfolio 3.93%
Benchmark 10.81%

Risk (annualized)

Portfolio 24.98%
Benchmark 20.18%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.56

Excess Return (annualized)

-6.87%

Tracking Error (annualized)

21.79%

Risk Free Rate (annualized)

0.98%

Growth Charts

Return Distribution

Excess Kurtosis

10.41

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6949 0.6949
Style Factor 0.2592 0.2592
Size Factor -0.1401 -0.1401
U.S. Tilt (Non U.S.) -0.1828 -0.1828

Adjusted R2

Portfolio 0.35
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution