Long-Short Value/Growth

Portfolio Specification

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%

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

Benchmark

iShares 1-3 Year Treasury Bond ETF (SHY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (15y 4m 20d)

Returns (annualized)

Portfolio -1.27%
Benchmark 1.31%

Risk (annualized)

Portfolio 5.61%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.46
Benchmark -0.10

Excess Return (annualized)

-2.58%

Tracking Error (annualized)

5.50%

Information Ratio

-0.47
Statistic Portfolio Benchmark
Downside Volatility 5.34% 1.32%
Sortino Ratio -0.48 -0.10
Calmar Ratio -0.09 -0.02
Ulcer Index 14.18 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,305 $-311
VaR (99.9% Confidence) $-1,734 $-413
Beta to Benchmark 0.85 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.46

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0123 -0.0090 -0.0033
Style Factor 0.4843 -0.0123 0.4965
Size Factor 0.0101 0.0058 0.0043
U.S. Tilt (Non U.S.) -0.0135 -0.0163 0.0029

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution