2X 80/20 Portfolio

Portfolio Specification

Assets

iShares Core U.S. Aggregate Bond ETF (AGG)160.00%
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)40.00%
iShares 1-3 Year Treasury Bond ETF (SHY)-100.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (13y 2m 2d)

Returns (annualized)

Portfolio 5.47%
Benchmark 13.44%

Risk (annualized)

Portfolio 10.52%
Benchmark 16.96%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.74

Excess Return (annualized)

-7.97%

Tracking Error (annualized)

13.55%

Information Ratio

-0.59
Statistic Portfolio Benchmark
Downside Volatility 11.56% 18.04%
Sortino Ratio 0.38 0.70
Calmar Ratio 0.15 0.37
Ulcer Index 15.06 15.29
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,446 $-3,945
VaR (99.9% Confidence) $-3,250 $-5,240
Beta to Benchmark 0.37 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

33.19

Skew

-1.67
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0706 -0.0706
Size Factor 0.0660 0.0660
Market Factor 0.3914 0.3914
U.S. Tilt (Non U.S.) -0.0676 -0.0676

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution