Simple 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (16y 1m 15d)

Returns (annualized)

Portfolio 5.87%
Benchmark 7.07%

Risk (annualized)

Portfolio 12.26%
Benchmark 14.81%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.47

Excess Return (annualized)

-1.20%

Tracking Error (annualized)

7.52%

Risk Free Rate (annualized)

0.99%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.37

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6137 0.6137
U.S. Tilt (Non U.S.) -0.0031 -0.0031
Style Factor 0.0044 0.0044
Size Factor -0.0090 -0.0090
Credit Factor 0.0845 0.0845
Duration Factor 0.2690 0.2690

Adjusted R2

Portfolio 0.99
Benchmark 0.77

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution