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 (18y 2m 17d)

Returns (annualized)

Portfolio 8.57%
Benchmark 12.04%

Risk (annualized)

Portfolio 11.89%
Benchmark 19.78%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.61

Excess Return (annualized)

-3.47%

Tracking Error (annualized)

8.63%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 12.69% 21.00%
Sortino Ratio 0.60 0.57
Calmar Ratio 0.23 0.23
Ulcer Index 15.27 14.91
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,765 $-4,601
VaR (99.9% Confidence) $-3,673 $-6,112
Beta to Benchmark 0.59 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.72

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0995 0.0602 0.0393
Duration Factor 0.2620 -0.0048 0.2668
Market Factor 0.6003 0.9614 -0.3611
U.S. Tilt (Non U.S.) 0.2628 0.3948 -0.1320

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution