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 5m 9d)

Returns (annualized)

Portfolio 6.00%
Benchmark 7.16%

Risk (annualized)

Portfolio 12.19%
Benchmark 14.73%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.47

Excess Return (annualized)

-1.17%

Tracking Error (annualized)

7.48%

Information Ratio

-0.16
Statistic Portfolio Benchmark
Downside Volatility 12.84% 16.39%
Sortino Ratio 0.43 0.42
Calmar Ratio 0.15 0.16
Ulcer Index 15.10 14.96
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,836 $-3,426
VaR (99.9% Confidence) $-3,768 $-4,551
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

12.40

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 0.0046 0.0046
Size Factor -0.0087 -0.0087
Credit Factor 0.0846 0.0846
Duration Factor 0.2701 0.2701

Adjusted R2

Portfolio 0.99
Benchmark 0.77

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution