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 8m 10d)

Returns (annualized)

Portfolio 8.35%
Benchmark 11.85%

Risk (annualized)

Portfolio 24.55%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.60

Excess Return (annualized)

-3.50%

Tracking Error (annualized)

22.15%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 25.07% 21.18%
Sortino Ratio 0.39 0.56
Calmar Ratio 0.17 0.23
Ulcer Index 13.34 14.89
Max Drawdown 56.03% 51.49%
VaR (99% Confidence) $-5,709 $-4,635
VaR (99.9% Confidence) $-7,584 $-6,158
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

10.33

Skew

0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6767 0.9820 -0.3052
Style Factor 0.3103 0.0124 0.2979
Size Factor -0.1533 -0.0574 -0.0959
U.S. Tilt (Non U.S.) -0.2097 0.4004 -0.6101

Adjusted R2

Portfolio 0.33
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution