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 (17y 16d)

Returns (annualized)

Portfolio 6.41%
Benchmark 10.53%

Risk (annualized)

Portfolio 16.21%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.54

Excess Return (annualized)

-4.12%

Tracking Error (annualized)

6.45%

Information Ratio

-0.64
Statistic Portfolio Benchmark
Downside Volatility 17.13% 21.42%
Sortino Ratio 0.37 0.51
Calmar Ratio 0.13 0.21
Ulcer Index 14.87 14.86
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,770 $-4,688
VaR (99.9% Confidence) $-5,009 $-6,227
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

11.46

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8010 0.8010
Style Factor -0.0058 -0.0058
Size Factor -0.0042 -0.0042
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