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 8m 8d)

Returns (annualized)

Portfolio 7.43%
Benchmark 11.80%

Risk (annualized)

Portfolio 16.02%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.60

Excess Return (annualized)

-4.37%

Tracking Error (annualized)

6.39%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 16.95% 21.18%
Sortino Ratio 0.42 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.90 14.89
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,725 $-4,636
VaR (99.9% Confidence) $-4,948 $-6,159
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

11.64

Skew

-0.23
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8011 0.9820 -0.1809
Style Factor -0.0054 0.0124 -0.0178
Size Factor -0.0038 -0.0574 0.0536
U.S. Tilt (Non U.S.) -0.0095 0.4004 -0.4099

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution