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 11m 26d)

Returns (annualized)

Portfolio 7.10%
Benchmark 11.17%

Risk (annualized)

Portfolio 15.96%
Benchmark 19.84%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.57

Excess Return (annualized)

-4.07%

Tracking Error (annualized)

6.35%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 16.88% 21.06%
Sortino Ratio 0.40 0.53
Calmar Ratio 0.14 0.22
Ulcer Index 14.91 14.90
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,711 $-4,614
VaR (99.9% Confidence) $-4,930 $-6,129
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 0.8012 0.9820 -0.1808
Style Factor -0.0055 0.0124 -0.0178
Size Factor -0.0036 -0.0571 0.0535
U.S. Tilt (Non U.S.) -0.0098 0.3999 -0.4097

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution