FDA Tax Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Equal Weights
Benchmark
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)

Policy Report

Backtest Report

From to (4y 9m 5d)

Returns (annualized)

Portfolio 18.84%
Benchmark 12.93%

Risk (annualized)

Portfolio 25.32%
Benchmark 20.12%

Sharpe (annualized)

Portfolio 0.72
Benchmark 0.60

Excess Return (annualized)

5.91%

Tracking Error (annualized)

16.69%

Risk Free Rate (annualized)

2.23%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.54

Skew

0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8559 0.8559
Style Factor -0.2575 -0.2575
Size Factor 0.2919 0.2919
U.S. Tilt (Non U.S.) 0.1095 0.1095
Emerging (Developed) Factor -0.0603 -0.0603
High Beta (Low Beta) -0.2354 -0.2354

Adjusted R2

Portfolio 0.63
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution