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 2m 16d)

Returns (annualized)

Portfolio -1.76%
Benchmark 1.27%

Risk (annualized)

Portfolio 5.59%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.54
Benchmark -0.11

Excess Return (annualized)

-3.03%

Tracking Error (annualized)

5.48%

Information Ratio

-0.55
Statistic Portfolio Benchmark
Downside Volatility 5.34% 1.33%
Sortino Ratio -0.57 -0.11
Calmar Ratio -0.11 -0.03
Ulcer Index 14.21 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,300 $-312
VaR (99.9% Confidence) $-1,727 $-415
Beta to Benchmark 0.84 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.59

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0124 -0.0091 -0.0033
Style Factor 0.4838 -0.0128 0.4965
Size Factor 0.0103 0.0061 0.0042
U.S. Tilt (Non U.S.) -0.0135 -0.0164 0.0030

Adjusted R2

Portfolio 0.86
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution