FDA Tax Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Assets
Big Tobacco
Pharma
Lindy Life Sci
“Moaty” MedTech
Services
Benchmark
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Policy Report

Backtest Report

From to (5y 7d)

Returns (annualized)

Portfolio 19.36%
Benchmark 12.90%

Risk (annualized)

Portfolio 25.22%
Benchmark 19.91%

Sharpe (annualized)

Portfolio 0.73
Benchmark 0.59

Excess Return (annualized)

6.46%

Tracking Error (annualized)

16.77%

Information Ratio

0.39
Statistic Portfolio Benchmark
Downside Volatility 24.77% 21.42%
Sortino Ratio 0.75 0.55
Calmar Ratio 0.46 0.35
Ulcer Index 13.54 14.85
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-5,864 $-4,629
VaR (99.9% Confidence) $-7,790 $-6,149
Beta to Benchmark 0.95 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.46

Skew

0.20
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8569 0.8569
Style Factor -0.2492 -0.2492
Size Factor 0.2849 0.2849
U.S. Tilt (Non U.S.) 0.1134 0.1134
Emerging (Developed) Factor -0.0619 -0.0619
High Beta (Low Beta) -0.2347 -0.2347

Adjusted R2

Portfolio 0.62
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution