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 11m 11d)

Returns (annualized)

Portfolio 8.47%
Benchmark 11.49%

Risk (annualized)

Portfolio 24.53%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.58

Excess Return (annualized)

-3.02%

Tracking Error (annualized)

22.16%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 25.08% 21.07%
Sortino Ratio 0.39 0.55
Calmar Ratio 0.18 0.22
Ulcer Index 13.37 14.90
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,706 $-4,615
VaR (99.9% Confidence) $-7,580 $-6,130
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

10.22

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6773 0.9820 -0.3047
Style Factor 0.3109 0.0125 0.2984
Size Factor -0.1549 -0.0572 -0.0977
U.S. Tilt (Non U.S.) -0.2115 0.4001 -0.6115

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution