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 (4m 16d)

Returns

Portfolio 6.95%
Benchmark 7.23%

Risk (annualized)

Portfolio 6.99%
Benchmark 6.98%

Sharpe (annualized)

Portfolio 1.99
Benchmark 2.10

Excess Return

-0.28%

Tracking Error (annualized)

3.60%

Information Ratio

-0.22
Statistic Portfolio Benchmark
Downside Volatility 7.51% 7.41%
Sortino Ratio 1.86 1.97
Calmar Ratio 4.26 3.83
Ulcer Index 15.79 15.77
Max Drawdown 3.28% 3.82%
VaR (99% Confidence) $-1,618 $-1,614
VaR (99.9% Confidence) $-2,149 $-2,144
Beta to Benchmark 0.87 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.90

Skew

-0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6047 0.4807 0.1241
U.S. Tilt (Non U.S.) -0.0044 0.0939 -0.0983
Style Factor -0.0028 -0.0742 0.0714
Size Factor -0.0003 0.0031 -0.0034
Credit Factor 0.1058 -0.0078 0.1136
Duration Factor 0.3097 0.4542 -0.1445

Adjusted R2

Portfolio 1.00
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution