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 6m 6d)

Returns (annualized)

Portfolio 6.21%
Benchmark 14.37%

Risk (annualized)

Portfolio 10.47%
Benchmark 16.84%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.79

Excess Return (annualized)

-8.16%

Tracking Error (annualized)

13.45%

Information Ratio

-0.61
Statistic Portfolio Benchmark
Downside Volatility 11.50% 17.87%
Sortino Ratio 0.44 0.75
Calmar Ratio 0.17 0.40
Ulcer Index 15.07 15.30
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,434 $-3,917
VaR (99.9% Confidence) $-3,234 $-5,204
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

33.04

Skew

-1.66
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Style Factor -0.0679 0.0237 -0.0916
Size Factor 0.0682 -0.0525 0.1207
Market Factor 0.3929 0.9900 -0.5971
U.S. Tilt (Non U.S.) -0.0684 0.4219 -0.4902

Adjusted R2

Portfolio 0.42
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution