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 (16y 10m 19d)

Returns (annualized)

Portfolio 7.00%
Benchmark 11.59%

Risk (annualized)

Portfolio 16.08%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.43
Benchmark 0.59

Excess Return (annualized)

-4.59%

Tracking Error (annualized)

6.34%

Information Ratio

-0.72
Statistic Portfolio Benchmark
Downside Volatility 17.02% 21.18%
Sortino Ratio 0.41 0.56
Calmar Ratio 0.15 0.23
Ulcer Index 14.86 14.87
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,739 $-4,625
VaR (99.9% Confidence) $-4,967 $-6,144
Beta to Benchmark 0.78 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.42

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8010 0.8010
Style Factor -0.0063 -0.0063
Size Factor -0.0041 -0.0041
U.S. Tilt (Non U.S.) -0.0094 -0.0094

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution