2X 80/20 Portfolio

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Weights Updating Interval Annually
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%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (12y 5m 30d)

Returns (annualized)

Portfolio 5.94%
Benchmark 13.87%

Risk (annualized)

Portfolio 10.46%
Benchmark 16.61%

Sharpe (annualized)

Portfolio 0.48
Benchmark 0.79

Excess Return (annualized)

-7.92%

Tracking Error (annualized)

13.40%

Information Ratio

-0.59
Statistic Portfolio Benchmark
Downside Volatility 11.53% 17.72%
Sortino Ratio 0.44 0.74
Calmar Ratio 0.17 0.39
Ulcer Index 15.09 15.29
Max Drawdown 30.36% 33.70%
VaR (99% Confidence) $-2,432 $-3,864
VaR (99.9% Confidence) $-3,231 $-5,133
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

35.43

Skew

-1.80
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor -0.0801 -0.0801
Size Factor 0.0658 0.0658
Market Factor 0.3861 0.3861
U.S. Tilt (Non U.S.) -0.0667 -0.0667

Adjusted R2

Portfolio 0.41
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution