20/80 Portfolio
Specification
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
| ISHARES MSCI ACWI ETF (ACWI) | 10.00% |
| iShares Core U.S. Aggregate Bond ETF (AGG) | 40.00% |
| Mystery | 50.00% |
Description
20% Stocks and 80% Bonds is a common mix for demonstrating “risk parity” between the two assets.
Policy Report
Backtest Report
From to (16y 23d)
Returns (annualized)
| Portfolio | 3.59% |
|---|---|
| Benchmark | 2.39% |
Risk (annualized)
| Portfolio | 6.04% |
|---|---|
| Benchmark | 5.52% |
Sharpe (annualized)
| Portfolio | 0.45 |
|---|---|
| Benchmark | 0.28 |
Excess Return (annualized)
| 1.20% |
Tracking Error (annualized)
| 4.14% |
Risk Free Rate (annualized)
| 0.98% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 42.17 |
Skew
| -1.10 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | 0.1695 | 0.1695 |
| Duration Factor | 0.5391 | 0.5391 |
| Market Factor | 0.2222 | 0.2222 |
Adjusted R2
| Portfolio | 0.83 |
|---|---|
| Benchmark | 0.68 |
Intercept
| Portfolio | -0.00 |
|---|---|
| Benchmark | -0.00 |