Simple 60/40

5f456687fedae83924931071

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
ACWI ISHARES MSCI ACWI ETF 2008-03-31 2023-11-27 ETF
AGG iShares Core U.S. Aggregate Bond ETF 2003-09-29 2023-11-27 ETF
Benchmark
BIGPX BlackRock Gwth Ptf Institutional 2006-12-27 2023-11-24 Mutual Fund

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ACWI -0.22 0.58 8.05 2.76 10.39 4.60 7.98 6.70 5.56 2008-03-31
AGG 0.34 0.27 2.12 0.38 0.41 -2.95 0.50 0.95 2.28 2003-09-29
Benchmark 0.57 3.94 1.06 4.86 1.85 5.19 4.76 5.02 2006-12-27
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ACWI 0.34 0.62 0.67 0.71 14.02 16.90 14.45 19.40 2008-03-31
AGG 0.22 0.31 0.29 0.29 4.03 4.11 3.28 3.92 2003-09-29
Benchmark 0.15 0.40 0.38 0.37 7.88 8.37 8.30 12.70 2006-12-27
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
ACWI 0.90 0.42 0.74 0.61 0.56 2008-03-31
AGG 0.02 -0.29 0.03 0.07 0.19 2003-09-29
Benchmark 0.42 0.15 0.45 0.41 0.45 2006-12-27

Correlation Matrix

ACWI AGG
ACWI 1 0
AGG 0 1
Documentation

Policy Report

Expected Risk

11.74%

Unique Bets

1.27

Back Test Report

Key Statistics

Returns

Portfolio
4.55%
Benchmark
5.18%

Risk

Portfolio
11.36%
Benchmark
12.63%

Sharpe Ratio

Portfolio
0.24
Benchmark
0.27

Excess Returns

-0.62%

Tracking Error

6.02%

Risk Free Rate

2.42%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

12.88

Skew

-0.13

Excess Kurtosis

131.6

Excess Skew

0.44

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.99

Documentation

Factor Attribution

Documentation

Specification You may be able to interact with your portfolio programmatically. This is new functionality that is still a work in progress. Go Reference
name: Simple 60/40
benchmark:
    id: BIGPX
assets:
    - type: Security
      id: ACWI
    - type: Security
      id: AGG
policy:
    rebalancing_interval: Quarterly
    weights:
        - 60
        - 40
    weights_algorithm: UserInput
    weights_updating_interval: Never