Long-Short Value/Growth

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Assets
VANGUARD RUSSELL 1000 VALUE INDEX FUND ETF SHARES (VONV)50.00%
VANGUARD RUSSELL 1000 GROWTH INDEX FUND ETF SHARES (VONG)-50.00%
iShares 1-3 Year Treasury Bond ETF (SHY)100.00%
Benchmark
iShares 1-3 Year Treasury Bond ETF (SHY)

Policy Report

Backtest Report

From to (13y 11m 14d)

Returns (annualized)

Portfolio -1.54%
Benchmark 1.05%

Risk (annualized)

Portfolio 5.37%
Benchmark 1.33%

Sharpe (annualized)

Portfolio -0.48
Benchmark -0.09

Excess Return (annualized)

-2.60%

Tracking Error (annualized)

5.29%

Information Ratio

-0.49
Statistic Portfolio Benchmark
Downside Volatility 5.09% 1.32%
Sortino Ratio -0.51 -0.09
Calmar Ratio -0.09 -0.02
Ulcer Index 14.39 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,248 $-309
VaR (99.9% Confidence) $-1,658 $-411
Beta to Benchmark 0.72 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.89

Skew

0.37
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0127 -0.0127
Style Factor 0.4804 0.4804
Size Factor 0.0104 0.0104
U.S. Tilt (Non U.S.) -0.0122 -0.0122

Adjusted R2

Portfolio 0.85
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution