US 60/40

Portfolio Specification

Assets

iShares Russell 3000 ETF (IWV) 60.00%
iShares Core U.S. Aggregate Bond ETF (AGG) 40.00%

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 1m 28d)

Returns (annualized)

Portfolio 8.62%
Benchmark 12.15%

Risk (annualized)

Portfolio 11.89%
Benchmark 19.79%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.61

Excess Return (annualized)

-3.53%

Tracking Error (annualized)

8.64%

Information Ratio

-0.41
Statistic Portfolio Benchmark
Downside Volatility 12.68% 21.00%
Sortino Ratio 0.60 0.58
Calmar Ratio 0.23 0.23
Ulcer Index 15.27 14.91
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,764 $-4,602
VaR (99.9% Confidence) $-3,672 $-6,113
Beta to Benchmark 0.59 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.77

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0997 0.0604 0.0392
Duration Factor 0.2617 -0.0050 0.2668
Market Factor 0.6001 0.9612 -0.3610
U.S. Tilt (Non U.S.) 0.2630 0.3949 -0.1319

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution