US 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 2m 16d)

Returns (annualized)

Portfolio 8.03%
Benchmark 11.28%

Risk (annualized)

Portfolio 12.06%
Benchmark 20.11%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.58

Excess Return (annualized)

-3.25%

Tracking Error (annualized)

8.81%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.62

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0991 0.0991
Duration Factor 0.2560 0.2560
Market Factor 0.6006 0.6006
U.S. Tilt (Non U.S.) 0.2714 0.2714

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution