Simple 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
BlackRock Gwth Ptf Institutional (BIGPX)

Policy Report

Backtest Report

From to (15y 11m )

Returns (annualized)

Portfolio 5.79%
Benchmark 7.02%

Risk (annualized)

Portfolio 12.30%
Benchmark 14.87%

Sharpe (annualized)

Portfolio 0.44
Benchmark 0.47

Excess Return (annualized)

-1.23%

Tracking Error (annualized)

7.56%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

12.33

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6131 0.6131
U.S. Tilt (Non U.S.) -0.0020 -0.0020
Style Factor 0.0046 0.0046
Size Factor -0.0092 -0.0092
Credit Factor 0.0860 0.0860
Duration Factor 0.2564 0.2564

Adjusted R2

Portfolio 0.99
Benchmark 0.77

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution