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 (17y 6m 23d)

Returns (annualized)

Portfolio 8.48%
Benchmark 11.83%

Risk (annualized)

Portfolio 11.98%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.60

Excess Return (annualized)

-3.35%

Tracking Error (annualized)

8.74%

Information Ratio

-0.38
Statistic Portfolio Benchmark
Downside Volatility 12.80% 21.21%
Sortino Ratio 0.59 0.56
Calmar Ratio 0.23 0.23
Ulcer Index 15.26 14.89
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,786 $-4,646
VaR (99.9% Confidence) $-3,701 $-6,172
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

11.77

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.1000 0.0609 0.0391
Duration Factor 0.2600 -0.0059 0.2659
Market Factor 0.5997 0.9608 -0.3612
U.S. Tilt (Non U.S.) 0.2646 0.3959 -0.1313

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution