Step 1. Window January 2000 to December 2019: 240 months; blend built at 0.6 market plus 0.4 bond, rebalanced monthly

Step 2. Table 5.1, the measure set on the chapter's window:
  U.S. stock market alone    CAGR  6.38  Sharpe 0.380  Sortino 0.533  Calmar 1.025  MAR 0.127  maxDD  -50.3  VaR95  7.72  VaR99 10.17  ES95  9.76  ES99 12.50  (99% tail rests on 3 months)
  60/40 blend                CAGR  6.41  Sharpe 0.569  Sortino 0.842  Calmar 1.473  MAR 0.221  maxDD  -28.9  VaR95  4.45  VaR99  5.91  ES95  5.57  ES99  7.14  (99% tail rests on 3 months)

Step 3. The measure set on the long series, 1926 to 2025:
  U.S. stock market alone    CAGR 10.32  Sharpe 0.451  Sortino 0.681  Calmar 2.524  MAR 0.123  maxDD  -83.7  VaR95  7.55  VaR99 13.41  ES95 11.73  ES99 19.38  (99% tail rests on 12 months)
  60/40 blend                CAGR  8.55  Sharpe 0.503  Sortino 0.777  Calmar 2.364  MAR 0.136  maxDD  -62.9  VaR95  4.36  VaR99  7.91  ES95  6.83  ES99 11.14  (99% tail rests on 12 months)

Part B, R lane solution: the 60/40 blend under three rebalancing rules, 2000 to 2019
  Monthly rebalanced     Sharpe 0.569  CAGR 6.41  MAR 0.221  maxDD -28.9  ES99 7.14
  Annually rebalanced    Sharpe 0.613  CAGR 6.69  MAR 0.251  maxDD -26.6  ES99 6.58
  Never rebalanced       Sharpe 0.624  CAGR 6.03  MAR 0.338  maxDD -17.9  ES99 5.36
  Ending stock weight, never rebalanced: 64 percent

Chapter 5 lab complete.
