80% Global Equity, 20% Bonds

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (18y 19d)

Returns (annualized)

Portfolio 7.63%
Benchmark 11.82%

Risk (annualized)

Portfolio 15.96%
Benchmark 19.83%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.60

Excess Return (annualized)

-4.19%

Tracking Error (annualized)

6.35%

Information Ratio

-0.66
Statistic Portfolio Benchmark
Downside Volatility 16.87% 21.05%
Sortino Ratio 0.43 0.56
Calmar Ratio 0.16 0.23
Ulcer Index 14.91 14.90
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,711 $-4,612
VaR (99.9% Confidence) $-4,930 $-6,127
Beta to Benchmark 0.77 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.60

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8012 0.9821 -0.1808
Style Factor -0.0055 0.0123 -0.0178
Size Factor -0.0036 -0.0571 0.0535
U.S. Tilt (Non U.S.) -0.0098 0.3997 -0.4095

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution