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 (4m 21d)

Returns

Portfolio 8.20%
Benchmark 9.41%

Risk (annualized)

Portfolio 8.87%
Benchmark 11.19%

Sharpe (annualized)

Portfolio 1.89
Benchmark 1.77

Excess Return

-1.21%

Tracking Error (annualized)

3.20%

Information Ratio

-1.10
Statistic Portfolio Benchmark
Downside Volatility 9.67% 12.15%
Sortino Ratio 1.73 1.63
Calmar Ratio 4.07 3.90
Ulcer Index 15.77 15.74
Max Drawdown 4.11% 5.07%
VaR (99% Confidence) $-2,052 $-2,590
VaR (99.9% Confidence) $-2,726 $-3,441
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

1.51

Skew

-0.62
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8139 1.0004 -0.1866
Style Factor 0.0055 0.0118 -0.0063
Size Factor 0.0054 -0.0500 0.0554
U.S. Tilt (Non U.S.) -0.0192 0.3524 -0.3716

Adjusted R2

Portfolio 1.00
Benchmark 1.00

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution