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 (17y 16d)

Returns (annualized)

Portfolio 5.70%
Benchmark 6.22%

Risk (annualized)

Portfolio 12.20%
Benchmark 14.79%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.40

Excess Return (annualized)

-0.52%

Tracking Error (annualized)

7.66%

Information Ratio

-0.07
Statistic Portfolio Benchmark
Downside Volatility 12.83% 16.57%
Sortino Ratio 0.40 0.36
Calmar Ratio 0.14 0.13
Ulcer Index 15.12 14.96
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,836 $-3,440
VaR (99.9% Confidence) $-3,768 $-4,569
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

12.48

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6135 0.6135
U.S. Tilt (Non U.S.) -0.0034 -0.0034
Style Factor 0.0051 0.0051
Size Factor -0.0083 -0.0083
Credit Factor 0.0851 0.0851
Duration Factor 0.2715 0.2715

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution