2X 80/20 Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually
Assets
iShares Core U.S. Aggregate Bond ETF (AGG)160.00%
SPDR Portfolio MSCI Global Stock Market ETF (SPGM)40.00%
iShares 1-3 Year Treasury Bond ETF (SHY)-100.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 4m 19d)

Returns (annualized)

Portfolio 5.56%
Benchmark 13.81%

Risk (annualized)

Portfolio 10.47%
Benchmark 16.60%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.79

Excess Return (annualized)

-8.25%

Tracking Error (annualized)

13.39%

Risk Free Rate (annualized)

1.28%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

35.63

Skew

-1.81
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0810 -0.0810
Size Factor 0.0696 0.0696
Market Factor 0.3864 0.3864
U.S. Tilt (Non U.S.) -0.0662 -0.0662

Adjusted R2

Portfolio 0.41
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution