Big Tobacco

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 3m 15d)

Returns (annualized)

Portfolio 4.60%
Benchmark 11.46%

Risk (annualized)

Portfolio 24.86%
Benchmark 20.07%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.59

Excess Return (annualized)

-6.86%

Tracking Error (annualized)

21.71%

Risk Free Rate (annualized)

1.04%

Growth Charts

Return Distribution

Excess Kurtosis

10.49

Skew

0.16
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6947 0.6947
Style Factor 0.2640 0.2640
Size Factor -0.1399 -0.1399
U.S. Tilt (Non U.S.) -0.1869 -0.1869

Adjusted R2

Portfolio 0.35
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution