Simple 60/40

Portfolio Specification

Assets

ISHARES MSCI ACWI ETF (ACWI)60.00%
iShares Core U.S. Aggregate Bond ETF (AGG)40.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (17y 1m 28d)

Returns (annualized)

Portfolio 6.07%
Benchmark 6.65%

Risk (annualized)

Portfolio 12.18%
Benchmark 14.77%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.43

Excess Return (annualized)

-0.59%

Tracking Error (annualized)

7.63%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 12.81% 16.55%
Sortino Ratio 0.42 0.38
Calmar Ratio 0.15 0.14
Ulcer Index 15.12 14.95
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,834 $-3,435
VaR (99.9% Confidence) $-3,764 $-4,564
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

12.45

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6135 0.6135
U.S. Tilt (Non U.S.) -0.0033 -0.0033
Style Factor 0.0051 0.0051
Size Factor -0.0083 -0.0083
Credit Factor 0.0851 0.0851
Duration Factor 0.2717 0.2717

Adjusted R2

Portfolio 0.99
Benchmark 0.76

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution