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 1m 7d)

Returns (annualized)

Portfolio 8.56%
Benchmark 12.03%

Risk (annualized)

Portfolio 11.90%
Benchmark 19.81%

Sharpe (annualized)

Portfolio 0.64
Benchmark 0.61

Excess Return (annualized)

-3.47%

Tracking Error (annualized)

8.65%

Information Ratio

-0.40
Statistic Portfolio Benchmark
Downside Volatility 12.69% 21.02%
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) $-2,767 $-4,608
VaR (99.9% Confidence) $-3,676 $-6,121
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

11.76

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0998 0.0605 0.0393
Duration Factor 0.2614 -0.0052 0.2665
Market Factor 0.6000 0.9611 -0.3611
U.S. Tilt (Non U.S.) 0.2633 0.3950 -0.1318

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution