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)

Policy Report

Backtest Report

From to (17y 1m 5d)

Returns (annualized)

Portfolio 7.85%
Benchmark 10.89%

Risk (annualized)

Portfolio 12.08%
Benchmark 20.16%

Sharpe (annualized)

Portfolio 0.59
Benchmark 0.55

Excess Return (annualized)

-3.04%

Tracking Error (annualized)

8.83%

Information Ratio

-0.34
Statistic Portfolio Benchmark
Downside Volatility 12.92% 21.42%
Sortino Ratio 0.55 0.52
Calmar Ratio 0.21 0.22
Ulcer Index 15.24 14.86
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,810 $-4,689
VaR (99.9% Confidence) $-3,733 $-6,229
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

11.64

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1000 0.1000
Duration Factor 0.2588 0.2588
Market Factor 0.5997 0.5997
U.S. Tilt (Non U.S.) 0.2658 0.2658

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution