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 2m 26d)

Returns (annualized)

Portfolio 6.22%
Benchmark 6.82%

Risk (annualized)

Portfolio 12.17%
Benchmark 14.74%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.44

Excess Return (annualized)

-0.59%

Tracking Error (annualized)

7.61%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 12.80% 16.54%
Sortino Ratio 0.43 0.39
Calmar Ratio 0.15 0.15
Ulcer Index 15.12 14.95
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,829 $-3,429
VaR (99.9% Confidence) $-3,758 $-4,555
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

12.48

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 0.0051 0.0051
Size Factor -0.0083 -0.0083
Credit Factor 0.0851 0.0851
Duration Factor 0.2719 0.2719

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution