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 (15y 11m -1d )

Returns (annualized)

Portfolio 3.72%
Benchmark 2.52%

Risk (annualized)

Portfolio 6.04%
Benchmark 5.52%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.31

Excess Return (annualized)

1.20%

Tracking Error (annualized)

4.16%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

42.40

Skew

-1.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1719 0.1719
Duration Factor 0.5121 0.5121
Market Factor 0.2209 0.2209

Adjusted R2

Portfolio 0.83
Benchmark 0.68

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution