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 (17y 5m 11d)

Returns (annualized)

Portfolio 8.40%
Benchmark 11.71%

Risk (annualized)

Portfolio 12.01%
Benchmark 20.02%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.59

Excess Return (annualized)

-3.31%

Tracking Error (annualized)

8.76%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 12.82% 21.25%
Sortino Ratio 0.59 0.56
Calmar Ratio 0.22 0.23
Ulcer Index 15.25 14.88
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,792 $-4,657
VaR (99.9% Confidence) $-3,709 $-6,186
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

11.73

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.1000 0.0609 0.0390
Duration Factor 0.2598 -0.0061 0.2659
Market Factor 0.5997 0.9608 -0.3611
U.S. Tilt (Non U.S.) 0.2649 0.3961 -0.1312

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution