2X 80/20 Portfolio

6093649d34e26052f66c9afd

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date
Latest
Return Date
Type
AGG iShares Core U.S. Aggregate Bond ETF 2003-09-29 2023-11-27 ETF
SPGM SPDR Portfolio MSCI Global Stock Market ETF 2012-03-06 2023-11-27 ETF
SHY iShares 1-3 Year Treasury Bond ETF 2002-07-29 2023-11-27 ETF
Benchmark
SPY SPDR S&P 500 ETF Trust 1999-11-02 2023-11-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
AGG 0.34 0.27 2.12 0.38 0.41 -2.95 0.50 0.95 2.28 2003-09-29
SPGM -0.26 0.48 8.36 2.25 8.50 4.14 7.56 6.53 7.79 2012-03-06
SHY 0.09 0.10 0.53 1.01 2.31 -0.51 0.80 0.59 1.45 2002-07-29
Benchmark -0.15 0.69 8.47 3.09 12.31 7.97 10.89 9.77 5.90 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
AGG 0.22 0.31 0.29 0.29 4.03 4.11 3.28 3.92 2003-09-29
SPGM 0.41 0.69 0.72 0.74 14.63 17.54 16.40 16.17 2012-03-06
SHY 0.05 0.11 0.09 0.13 1.57 1.36 1.08 1.27 2002-07-29
Benchmark 0.35 0.62 0.69 0.75 14.89 17.72 14.62 17.13 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
AGG 0.02 -0.29 0.03 0.07 0.19 2003-09-29
SPGM 0.75 0.39 0.71 0.61 0.72 2012-03-06
SHY 0.20 -0.06 0.07 0.05 0.13 2002-07-29
Benchmark 1.06 0.72 0.99 0.87 0.56 1999-11-02

Correlation Matrix

AGG SPGM SHY
AGG 1 0.06 0.7
SPGM 0.06 1 -0.08
SHY 0.7 -0.08 1
Documentation

Policy Report

Expected Risk

8.14%

Unique Bets

1.67

Back Test Report

Key Statistics

Returns

Portfolio
4.13%
Benchmark
10.77%

Risk

Portfolio
8.14%
Benchmark
14.07%

Sharpe Ratio

Portfolio
0.18
Benchmark
0.59

Excess Returns

-6.64%

Tracking Error

10.68%

Risk Free Rate

2.94%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

28.37

Skew

-1.62

Excess Kurtosis

10.4

Excess Skew

0.33

Documentation

Factor Analysis

Factor Coefficients

Intercept

0

Adjusted R2

0.47

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: 2X 80/20 Portfolio
benchmark:
    id: SPY
assets:
    - id: AGG
    - id: SPGM
    - id: SHY
policy:
    rebalancing_interval: Quarterly
    weights:
        - 160
        - 40
        - -100
    weights_algorithm: UserInput
    weights_updating_interval: Annually