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 19d)

Returns (annualized)

Portfolio 8.46%
Benchmark 11.82%

Risk (annualized)

Portfolio 11.91%
Benchmark 19.83%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.60

Excess Return (annualized)

-3.36%

Tracking Error (annualized)

8.66%

Information Ratio

-0.39
Statistic Portfolio Benchmark
Downside Volatility 12.70% 21.05%
Sortino Ratio 0.59 0.56
Calmar Ratio 0.22 0.23
Ulcer Index 15.27 14.90
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,769 $-4,612
VaR (99.9% Confidence) $-3,679 $-6,127
Beta to Benchmark 0.58 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.76

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0998 0.0605 0.0393
Duration Factor 0.2611 -0.0052 0.2664
Market Factor 0.5999 0.9611 -0.3611
U.S. Tilt (Non U.S.) 0.2634 0.3950 -0.1316

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution