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 (4m 18d)

Returns

Portfolio 6.77%
Benchmark 9.80%

Risk (annualized)

Portfolio 6.80%
Benchmark 11.23%

Sharpe (annualized)

Portfolio 1.96
Benchmark 1.87

Excess Return

-3.03%

Tracking Error (annualized)

7.69%

Information Ratio

-1.16
Statistic Portfolio Benchmark
Downside Volatility 6.17% 12.27%
Sortino Ratio 2.16 1.71
Calmar Ratio 4.17 4.13
Ulcer Index 15.75 15.74
Max Drawdown 3.20% 5.07%
VaR (99% Confidence) $-1,573 $-2,598
VaR (99.9% Confidence) $-2,089 $-3,451
Beta to Benchmark 0.45 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.05

Skew

0.07
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor 0.0265 0.0118 0.0148
Size Factor 0.0416 -0.0500 0.0916
Market Factor 0.4901 1.0004 -0.5103
U.S. Tilt (Non U.S.) -0.1327 0.3524 -0.4850

Adjusted R2

Portfolio 0.61
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution