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 8m 11d)

Returns (annualized)

Portfolio 6.96%
Benchmark 11.63%

Risk (annualized)

Portfolio 16.12%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.60

Excess Return (annualized)

-4.67%

Tracking Error (annualized)

6.37%

Information Ratio

-0.73
Statistic Portfolio Benchmark
Downside Volatility 17.06% 21.23%
Sortino Ratio 0.41 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.85 14.86
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,750 $-4,638
VaR (99.9% Confidence) $-4,981 $-6,161
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

11.39

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8009 0.8009
Style Factor -0.0064 -0.0064
Size Factor -0.0045 -0.0045
U.S. Tilt (Non U.S.) -0.0095 -0.0095

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution