20/80 Portfolio

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Constant Weights
Benchmark
iShares Core U.S. Aggregate Bond ETF (AGG)

Description

20% Stocks and 80% Bonds is a common mix for demonstrating “risk parity” between the two assets.

Policy Report

Backtest Report

From to (16y 2m 17d)

Returns (annualized)

Portfolio 3.77%
Benchmark 2.54%

Risk (annualized)

Portfolio 6.03%
Benchmark 5.52%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.30

Excess Return (annualized)

1.23%

Tracking Error (annualized)

4.13%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

41.84

Skew

-1.10
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1695 0.1695
Duration Factor 0.5400 0.5400
Market Factor 0.2223 0.2223

Adjusted R2

Portfolio 0.83
Benchmark 0.69

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution