2X 80/20 Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 1m 17d)

Returns (annualized)

Portfolio 5.19%
Benchmark 13.50%

Risk (annualized)

Portfolio 10.48%
Benchmark 16.70%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.77

Excess Return (annualized)

-8.31%

Tracking Error (annualized)

13.48%

Risk Free Rate (annualized)

1.19%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

36.21

Skew

-1.84
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0821 -0.0821
Size Factor 0.0645 0.0645
Market Factor 0.3846 0.3846
U.S. Tilt (Non U.S.) -0.0639 -0.0639

Adjusted R2

Portfolio 0.40
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution