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)

Policy Report

Backtest Report

From to (13y 3m 21d)

Returns (annualized)

Portfolio 5.82%
Benchmark 14.04%

Risk (annualized)

Portfolio 10.51%
Benchmark 16.94%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.77

Excess Return (annualized)

-8.22%

Tracking Error (annualized)

13.52%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 11.54% 17.99%
Sortino Ratio 0.41 0.73
Calmar Ratio 0.16 0.39
Ulcer Index 15.06 15.29
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,444 $-3,939
VaR (99.9% Confidence) $-3,246 $-5,233
Beta to Benchmark 0.37 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

33.02

Skew

-1.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0690 -0.0690
Size Factor 0.0665 0.0665
Market Factor 0.3922 0.3922
U.S. Tilt (Non U.S.) -0.0669 -0.0669

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution