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 (13y 7m 17d)

Returns (annualized)

Portfolio 6.31%
Benchmark 14.45%

Risk (annualized)

Portfolio 10.43%
Benchmark 16.81%

Sharpe (annualized)

Portfolio 0.49
Benchmark 0.80

Excess Return (annualized)

-8.14%

Tracking Error (annualized)

13.42%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 11.45% 17.84%
Sortino Ratio 0.45 0.75
Calmar Ratio 0.17 0.40
Ulcer Index 15.07 15.30
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,426 $-3,908
VaR (99.9% Confidence) $-3,223 $-5,192
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

33.21

Skew

-1.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0669 0.0236 -0.0906
Size Factor 0.0670 -0.0525 0.1195
Market Factor 0.3926 0.9900 -0.5974
U.S. Tilt (Non U.S.) -0.0691 0.4214 -0.4905

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution