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 4m 4d)

Returns (annualized)

Portfolio 7.13%
Benchmark 11.49%

Risk (annualized)

Portfolio 16.13%
Benchmark 20.07%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.58

Excess Return (annualized)

-4.36%

Tracking Error (annualized)

6.43%

Information Ratio

-0.68
Statistic Portfolio Benchmark
Downside Volatility 17.05% 21.31%
Sortino Ratio 0.41 0.55
Calmar Ratio 0.15 0.23
Ulcer Index 14.88 14.87
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,751 $-4,668
VaR (99.9% Confidence) $-4,983 $-6,201
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

11.52

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8011 0.9819 -0.1808
Style Factor -0.0056 0.0125 -0.0180
Size Factor -0.0042 -0.0578 0.0536
U.S. Tilt (Non U.S.) -0.0094 0.4007 -0.4101

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution