US 60/40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
iShares Russell 3000 ETF (IWV)60.00%
iShares Core U.S. Aggregate Bond ETF (AGG)40.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 9m 13d)

Returns (annualized)

Portfolio 8.07%
Benchmark 11.35%

Risk (annualized)

Portfolio 11.96%
Benchmark 19.93%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.58

Excess Return (annualized)

-3.28%

Tracking Error (annualized)

8.72%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 12.82% 21.22%
Sortino Ratio 0.57 0.55
Calmar Ratio 0.22 0.23
Ulcer Index 15.24 14.86
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,783 $-4,634
VaR (99.9% Confidence) $-3,696 $-6,156
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

11.63

Skew

-0.33
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0994 0.0994
Duration Factor 0.2582 0.2582
Market Factor 0.6006 0.6006
U.S. Tilt (Non U.S.) 0.2689 0.2689

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution