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 11m 5d)

Returns (annualized)

Portfolio 8.00%
Benchmark 11.14%

Risk (annualized)

Portfolio 11.95%
Benchmark 19.89%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.57

Excess Return (annualized)

-3.14%

Tracking Error (annualized)

8.70%

Information Ratio

-0.36
Statistic Portfolio Benchmark
Downside Volatility 12.80% 21.18%
Sortino Ratio 0.57 0.54
Calmar Ratio 0.22 0.22
Ulcer Index 15.24 14.87
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,779 $-4,626
VaR (99.9% Confidence) $-3,691 $-6,145
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

11.60

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0996 0.0996
Duration Factor 0.2588 0.2588
Market Factor 0.6005 0.6005
U.S. Tilt (Non U.S.) 0.2681 0.2681

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution