FDA Tax Portfolio

Portfolio Specification

Assets

Big Tobacco
Pharma
Lindy Life Sci
“Moaty” MedTech
Services

Policy

Rebalancing Interval Quarterly
Weights Algorithm Equal Weights

Benchmark

SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (5y 11m 28d)

Returns (annualized)

Portfolio 25.81%
Benchmark 13.81%

Risk (annualized)

Portfolio 27.01%
Benchmark 19.47%

Sharpe (annualized)

Portfolio 0.89
Benchmark 0.63

Excess Return (annualized)

12.00%

Tracking Error (annualized)

19.75%

Information Ratio

0.61
Statistic Portfolio Benchmark
Downside Volatility 24.59% 20.82%
Sortino Ratio 0.97 0.59
Calmar Ratio 0.59 0.36
Ulcer Index 13.73 14.96
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-6,280 $-4,527
VaR (99.9% Confidence) $-8,343 $-6,014
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

21.13

Skew

1.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8553 0.9971 -0.1418
Style Factor -0.2224 0.0416 -0.2639
Size Factor 0.3172 0.0134 0.3038
U.S. Tilt (Non U.S.) 0.1274 -0.0040 0.1314
Emerging (Developed) Factor -0.0547 -0.0189 -0.0359
High Beta (Low Beta) -0.2597 0.0283 -0.2880

Adjusted R2

Portfolio 0.51
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution