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 (14y 6m 4d)

Returns (annualized)

Portfolio -1.50%
Benchmark 1.12%

Risk (annualized)

Portfolio 5.50%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.48
Benchmark -0.13

Excess Return (annualized)

-2.61%

Tracking Error (annualized)

5.42%

Information Ratio

-0.48
Statistic Portfolio Benchmark
Downside Volatility 5.21% 1.33%
Sortino Ratio -0.51 -0.13
Calmar Ratio -0.09 -0.03
Ulcer Index 14.31 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,280 $-310
VaR (99.9% Confidence) $-1,700 $-412
Beta to Benchmark 0.76 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.55

Skew

0.38
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0124 -0.0124
Style Factor 0.4815 0.4815
Size Factor 0.0106 0.0106
U.S. Tilt (Non U.S.) -0.0120 -0.0120

Adjusted R2

Portfolio 0.86
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution