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 3m 24d)

Returns (annualized)

Portfolio 7.98%
Benchmark 11.11%

Risk (annualized)

Portfolio 12.04%
Benchmark 20.07%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.57

Excess Return (annualized)

-3.13%

Tracking Error (annualized)

8.79%

Risk Free Rate (annualized)

1.04%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

11.64

Skew

-0.32
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0992 0.0992
Duration Factor 0.2566 0.2566
Market Factor 0.6006 0.6006
U.S. Tilt (Non U.S.) 0.2711 0.2711

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution