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 8d)

Returns (annualized)

Portfolio 8.44%
Benchmark 11.81%

Risk (annualized)

Portfolio 11.98%
Benchmark 19.98%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.60

Excess Return (annualized)

-3.36%

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 0.22 0.23
Ulcer Index 15.25 14.88
Max Drawdown 33.64% 51.49%
VaR (99% Confidence) $-2,787 $-4,647
VaR (99.9% Confidence) $-3,702 $-6,174
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

11.78

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Credit Factor 0.1000 0.0610 0.0390
Duration Factor 0.2599 -0.0059 0.2658
Market Factor 0.5997 0.9608 -0.3611
U.S. Tilt (Non U.S.) 0.2648 0.3960 -0.1312

Adjusted R2

Portfolio 0.97
Benchmark 0.97

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution