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 9m 15d)

Returns (annualized)

Portfolio 6.80%
Benchmark 11.45%

Risk (annualized)

Portfolio 16.11%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.59

Excess Return (annualized)

-4.65%

Tracking Error (annualized)

6.36%

Information Ratio

-0.73
Statistic Portfolio Benchmark
Downside Volatility 17.05% 21.22%
Sortino Ratio 0.40 0.55
Calmar Ratio 0.14 0.23
Ulcer Index 14.86 14.86
Max Drawdown 47.09% 51.49%
VaR (99% Confidence) $-3,746 $-4,634
VaR (99.9% Confidence) $-4,977 $-6,156
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

11.38

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.8010 0.8010
Style Factor -0.0065 -0.0065
Size Factor -0.0043 -0.0043
U.S. Tilt (Non U.S.) -0.0093 -0.0093

Adjusted R2

Portfolio 1.00
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution