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 (15y 11m )

Returns (annualized)

Portfolio 7.93%
Benchmark 11.02%

Risk (annualized)

Portfolio 12.53%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.57

Excess Return (annualized)

-3.10%

Tracking Error (annualized)

9.32%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

18.89

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.1152 0.1152
Duration Factor 0.1872 0.1872
Market Factor 0.6023 0.6023
U.S. Tilt (Non U.S.) 0.3439 0.3439

Adjusted R2

Portfolio 0.96
Benchmark 0.96

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution