US 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
iShares Russell 3000 ETF (IWV)60.00%
iShares Core U.S. Aggregate Bond ETF (AGG)40.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (17y 9d)

Returns (annualized)

Portfolio 7.60%
Benchmark 10.52%

Risk (annualized)

Portfolio 12.08%
Benchmark 20.15%

Sharpe (annualized)

Portfolio 0.57
Benchmark 0.54

Excess Return (annualized)

-2.92%

Tracking Error (annualized)

8.83%

Information Ratio

-0.33
Statistic Portfolio Benchmark
Downside Volatility 12.91% 21.41%
Sortino Ratio 0.53 0.51
Calmar Ratio 0.20 0.21
Ulcer Index 15.24 14.87
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,808 $-4,687
VaR (99.9% Confidence) $-3,731 $-6,226
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

11.71

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0997 0.0997
Duration Factor 0.2592 0.2592
Market Factor 0.5998 0.5998
U.S. Tilt (Non U.S.) 0.2662 0.2662

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution