80% Global Equity, 20% Bonds

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
ISHARES MSCI ACWI ETF (ACWI)80.00%
iShares Core U.S. Aggregate Bond ETF (AGG)20.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 11m 26d)

Returns (annualized)

Portfolio 6.73%
Benchmark 11.05%

Risk (annualized)

Portfolio 16.06%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.57

Excess Return (annualized)

-4.32%

Tracking Error (annualized)

6.35%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 17.00% 21.18%
Sortino Ratio 0.39 0.53
Calmar Ratio 0.14 0.22
Ulcer Index 14.87 14.87
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,736 $-4,625
VaR (99.9% Confidence) $-4,963 $-6,144
Beta to Benchmark 0.78 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.38

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8009 0.8009
Style Factor -0.0058 -0.0058
Size Factor -0.0043 -0.0043
U.S. Tilt (Non U.S.) -0.0093 -0.0093

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution