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 (18y 3m 28d)

Returns (annualized)

Portfolio 7.59%
Benchmark 11.82%

Risk (annualized)

Portfolio 15.91%
Benchmark 19.75%

Sharpe (annualized)

Portfolio 0.45
Benchmark 0.60

Excess Return (annualized)

-4.23%

Tracking Error (annualized)

6.32%

Information Ratio

-0.67
Statistic Portfolio Benchmark
Downside Volatility 16.82% 20.95%
Sortino Ratio 0.43 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.92 14.92
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,701 $-4,593
VaR (99.9% Confidence) $-4,917 $-6,101
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

11.56

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.8014 0.9824 -0.1810
Style Factor -0.0056 0.0110 -0.0167
Size Factor -0.0031 -0.0569 0.0538
U.S. Tilt (Non U.S.) -0.0103 0.3982 -0.4085

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution