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 11m 20d)

Returns (annualized)

Portfolio 5.95%
Benchmark 6.52%

Risk (annualized)

Portfolio 12.09%
Benchmark 14.70%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.42

Excess Return (annualized)

-0.57%

Tracking Error (annualized)

7.67%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 12.73% 16.49%
Sortino Ratio 0.42 0.38
Calmar Ratio 0.14 0.14
Ulcer Index 15.12 14.96
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,811 $-3,418
VaR (99.9% Confidence) $-3,735 $-4,541
Beta to Benchmark 0.70 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.48

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 0.0049 0.0049
Size Factor -0.0085 -0.0085
Credit Factor 0.0849 0.0849
Duration Factor 0.2712 0.2712

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution