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 1m 27d)

Returns (annualized)

Portfolio -1.79%
Benchmark 1.01%

Risk (annualized)

Portfolio 5.40%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.53
Benchmark -0.16

Excess Return (annualized)

-2.80%

Tracking Error (annualized)

5.32%

Information Ratio

-0.53
Statistic Portfolio Benchmark
Downside Volatility 5.13% 1.33%
Sortino Ratio -0.56 -0.16
Calmar Ratio -0.10 -0.04
Ulcer Index 14.36 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,256 $-310
VaR (99.9% Confidence) $-1,668 $-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

4.75

Skew

0.36
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0126 -0.0126
Style Factor 0.4808 0.4808
Size Factor 0.0104 0.0104
U.S. Tilt (Non U.S.) -0.0126 -0.0126

Adjusted R2

Portfolio 0.85
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution