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)

Policy Report

Backtest Report

From to (5y 6m 25d)

Returns (annualized)

Portfolio 18.78%
Benchmark 11.23%

Risk (annualized)

Portfolio 25.95%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.70
Benchmark 0.51

Excess Return (annualized)

7.55%

Tracking Error (annualized)

17.66%

Information Ratio

0.43
Statistic Portfolio Benchmark
Downside Volatility 25.02% 21.36%
Sortino Ratio 0.72 0.47
Calmar Ratio 0.45 0.30
Ulcer Index 13.62 14.90
Max Drawdown 40.48% 33.97%
VaR (99% Confidence) $-6,035 $-4,654
VaR (99.9% Confidence) $-8,017 $-6,183
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

5.82

Skew

0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8565 0.8565
Style Factor -0.2521 -0.2521
Size Factor 0.3117 0.3117
U.S. Tilt (Non U.S.) 0.1149 0.1149
Emerging (Developed) Factor -0.0623 -0.0623
High Beta (Low Beta) -0.2452 -0.2452

Adjusted R2

Portfolio 0.60
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution