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 8m 18d)

Returns (annualized)

Portfolio 5.95%
Benchmark 7.13%

Risk (annualized)

Portfolio 12.13%
Benchmark 14.64%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.47

Excess Return (annualized)

-1.19%

Tracking Error (annualized)

7.47%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 12.77% 16.31%
Sortino Ratio 0.42 0.42
Calmar Ratio 0.15 0.15
Ulcer Index 15.11 14.97
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,821 $-3,405
VaR (99.9% Confidence) $-3,747 $-4,523
Beta to Benchmark 0.71 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.49

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 0.0046 0.0046
Size Factor -0.0086 -0.0086
Credit Factor 0.0848 0.0848
Duration Factor 0.2707 0.2707

Adjusted R2

Portfolio 0.99
Benchmark 0.77

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution