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 (18y 3m 9d)

Returns (annualized)

Portfolio 7.78%
Benchmark 12.07%

Risk (annualized)

Portfolio 15.93%
Benchmark 19.76%

Sharpe (annualized)

Portfolio 0.47
Benchmark 0.61

Excess Return (annualized)

-4.29%

Tracking Error (annualized)

6.32%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 16.84% 20.97%
Sortino Ratio 0.44 0.57
Calmar Ratio 0.16 0.23
Ulcer Index 14.92 14.91
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,704 $-4,597
VaR (99.9% Confidence) $-4,921 $-6,106
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

11.56

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8013 0.9824 -0.1811
Style Factor -0.0057 0.0116 -0.0173
Size Factor -0.0031 -0.0570 0.0540
U.S. Tilt (Non U.S.) -0.0103 0.3986 -0.4089

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution