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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (17y 5m 11d)

Returns (annualized)

Portfolio 6.44%
Benchmark 7.05%

Risk (annualized)

Portfolio 12.11%
Benchmark 14.67%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.45

Excess Return (annualized)

-0.61%

Tracking Error (annualized)

7.57%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 12.74% 16.45%
Sortino Ratio 0.45 0.40
Calmar Ratio 0.15 0.15
Ulcer Index 15.13 14.96
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,816 $-3,412
VaR (99.9% Confidence) $-3,741 $-4,533
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

12.58

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6135 0.6277 -0.0142
U.S. Tilt (Non U.S.) -0.0034 0.0655 -0.0689
Style Factor 0.0051 -0.0052 0.0103
Size Factor -0.0082 0.0844 -0.0926
Credit Factor 0.0852 0.0033 0.0819
Duration Factor 0.2722 0.1100 0.1622

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution