2X 80/20 Portfolio

Portfolio Specification

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%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (14y 21d)

Returns (annualized)

Portfolio 5.90%
Benchmark 13.56%

Risk (annualized)

Portfolio 10.39%
Benchmark 16.70%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.75

Excess Return (annualized)

-7.66%

Tracking Error (annualized)

13.28%

Information Ratio

-0.58
Statistic Portfolio Benchmark
Downside Volatility 11.41% 17.73%
Sortino Ratio 0.41 0.71
Calmar Ratio 0.15 0.37
Ulcer Index 15.09 15.31
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,416 $-3,883
VaR (99.9% Confidence) $-3,209 $-5,159
Beta to Benchmark 0.38 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

32.78

Skew

-1.64
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0656 0.0231 -0.0887
Size Factor 0.0672 -0.0523 0.1195
Market Factor 0.3953 0.9903 -0.5950
U.S. Tilt (Non U.S.) -0.0725 0.4197 -0.4922

Adjusted R2

Portfolio 0.43
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution