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 (4m 15d)

Returns

Portfolio 6.26%
Benchmark 8.84%

Risk (annualized)

Portfolio 7.34%
Benchmark 11.32%

Sharpe (annualized)

Portfolio 1.70
Benchmark 1.69

Excess Return

-2.58%

Tracking Error (annualized)

4.49%

Information Ratio

-1.71
Statistic Portfolio Benchmark
Downside Volatility 7.46% 12.28%
Sortino Ratio 1.67 1.56
Calmar Ratio 3.58 3.77
Ulcer Index 15.78 15.74
Max Drawdown 3.48% 5.07%
VaR (99% Confidence) $-1,698 $-2,620
VaR (99.9% Confidence) $-2,255 $-3,481
Beta to Benchmark 0.63 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.93

Skew

-0.38
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.0897 0.0007 0.0890
Duration Factor 0.3545 0.0065 0.3480
Market Factor 0.6092 0.9712 -0.3621
U.S. Tilt (Non U.S.) 0.1967 0.3509 -0.1542

Adjusted R2

Portfolio 0.99
Benchmark 0.99

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution