Simple 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
ISHARES MSCI ACWI ETF (ACWI)60.00%
iShares Core U.S. Aggregate Bond ETF (AGG)40.00%
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (16y 3m 24d)

Returns (annualized)

Portfolio 5.86%
Benchmark 7.04%

Risk (annualized)

Portfolio 12.21%
Benchmark 14.75%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.46

Excess Return (annualized)

-1.18%

Tracking Error (annualized)

7.48%

Risk Free Rate (annualized)

1.04%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.44

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6137 0.6137
U.S. Tilt (Non U.S.) -0.0032 -0.0032
Style Factor 0.0045 0.0045
Size Factor -0.0086 -0.0086
Credit Factor 0.0846 0.0846
Duration Factor 0.2697 0.2697

Adjusted R2

Portfolio 0.99
Benchmark 0.77

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution