80% Global Equity, 20% Bonds

Portfolio Specification

Assets

ISHARES MSCI ACWI ETF (ACWI)80.00%
iShares Core U.S. Aggregate Bond ETF (AGG)20.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 1m 5d)

Returns (annualized)

Portfolio 6.71%
Benchmark 10.89%

Risk (annualized)

Portfolio 16.21%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.55

Excess Return (annualized)

-4.18%

Tracking Error (annualized)

6.45%

Information Ratio

-0.65
Statistic Portfolio Benchmark
Downside Volatility 17.12% 21.42%
Sortino Ratio 0.39 0.52
Calmar Ratio 0.14 0.22
Ulcer Index 14.87 14.86
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,770 $-4,689
VaR (99.9% Confidence) $-5,008 $-6,229
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

11.43

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8011 0.8011
Style Factor -0.0058 -0.0058
Size Factor -0.0043 -0.0043
U.S. Tilt (Non U.S.) -0.0092 -0.0092

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution