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 10m 19d)

Returns (annualized)

Portfolio 6.13%
Benchmark 6.78%

Risk (annualized)

Portfolio 12.10%
Benchmark 14.71%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.44

Excess Return (annualized)

-0.65%

Tracking Error (annualized)

7.69%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 12.74% 16.51%
Sortino Ratio 0.43 0.39
Calmar Ratio 0.15 0.15
Ulcer Index 15.11 14.97
Max Drawdown 36.97% 44.55%
VaR (99% Confidence) $-2,813 $-3,421
VaR (99.9% Confidence) $-3,737 $-4,544
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

12.52

Skew

-0.23
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 0.0047 0.0047
Size Factor -0.0085 -0.0085
Credit Factor 0.0848 0.0848
Duration Factor 0.2710 0.2710

Adjusted R2

Portfolio 0.99
Benchmark 0.75

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution