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 4m)

Returns (annualized)

Portfolio 8.20%
Benchmark 11.43%

Risk (annualized)

Portfolio 12.03%
Benchmark 20.07%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.58

Excess Return (annualized)

-3.23%

Tracking Error (annualized)

8.79%

Information Ratio

-0.37
Statistic Portfolio Benchmark
Downside Volatility 12.86% 21.32%
Sortino Ratio 0.57 0.54
Calmar Ratio 0.22 0.23
Ulcer Index 15.25 14.87
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,798 $-4,668
VaR (99.9% Confidence) $-3,717 $-6,201
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

11.69

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0999 0.0999
Duration Factor 0.2595 0.2595
Market Factor 0.5997 0.5997
U.S. Tilt (Non U.S.) 0.2651 0.2651

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution