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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 6m 15d)

Returns (annualized)

Portfolio 7.38%
Benchmark 11.69%

Risk (annualized)

Portfolio 16.06%
Benchmark 19.99%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.59

Excess Return (annualized)

-4.31%

Tracking Error (annualized)

6.41%

Information Ratio

-0.67
Statistic Portfolio Benchmark
Downside Volatility 16.98% 21.22%
Sortino Ratio 0.42 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.89 14.88
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,735 $-4,648
VaR (99.9% Confidence) $-4,962 $-6,175
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

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8011 0.9820 -0.1809
Style Factor -0.0055 0.0125 -0.0181
Size Factor -0.0039 -0.0575 0.0537
U.S. Tilt (Non U.S.) -0.0095 0.4006 -0.4101

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution