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 6m 24d)

Returns (annualized)

Portfolio -1.91%
Benchmark 0.80%

Risk (annualized)

Portfolio 5.24%
Benchmark 1.31%

Sharpe (annualized)

Portfolio -0.54
Benchmark -0.20

Excess Return (annualized)

-2.71%

Tracking Error (annualized)

5.17%

Risk Free Rate (annualized)

1.07%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.00

Skew

0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0127 -0.0127
Style Factor 0.4796 0.4796
Size Factor 0.0104 0.0104
U.S. Tilt (Non U.S.) -0.0115 -0.0115

Adjusted R2

Portfolio 0.84
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution