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 4m 28d)

Returns (annualized)

Portfolio -1.83%
Benchmark 1.07%

Risk (annualized)

Portfolio 5.45%
Benchmark 1.33%

Sharpe (annualized)

Portfolio -0.54
Benchmark -0.15

Excess Return (annualized)

-2.89%

Tracking Error (annualized)

5.38%

Information Ratio

-0.54
Statistic Portfolio Benchmark
Downside Volatility 5.19% 1.33%
Sortino Ratio -0.57 -0.15
Calmar Ratio -0.10 -0.04
Ulcer Index 14.32 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,268 $-310
VaR (99.9% Confidence) $-1,684 $-412
Beta to Benchmark 0.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.69

Skew

0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0123 -0.0123
Style Factor 0.4808 0.4808
Size Factor 0.0110 0.0110
U.S. Tilt (Non U.S.) -0.0124 -0.0124

Adjusted R2

Portfolio 0.85
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution