Simple 60/40

Portfolio Specification

Assets

ISHARES MSCI ACWI ETF (ACWI)60.00%
iShares Core U.S. Aggregate Bond ETF (AGG)40.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (17y 1m 5d)

Returns (annualized)

Portfolio 5.92%
Benchmark 6.48%

Risk (annualized)

Portfolio 12.20%
Benchmark 14.79%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.42

Excess Return (annualized)

-0.56%

Tracking Error (annualized)

7.65%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 12.82% 16.57%
Sortino Ratio 0.41 0.37
Calmar Ratio 0.14 0.14
Ulcer Index 15.12 14.96
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,836 $-3,439
VaR (99.9% Confidence) $-3,768 $-4,568
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.45

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6135 0.6135
U.S. Tilt (Non U.S.) -0.0033 -0.0033
Style Factor 0.0050 0.0050
Size Factor -0.0083 -0.0083
Credit Factor 0.0851 0.0851
Duration Factor 0.2716 0.2716

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution