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 10m 8d)

Returns (annualized)

Portfolio -1.00%
Benchmark 1.30%

Risk (annualized)

Portfolio 5.71%
Benchmark 1.35%

Sharpe (annualized)

Portfolio -0.41
Benchmark -0.16

Excess Return (annualized)

-2.29%

Tracking Error (annualized)

5.60%

Information Ratio

-0.41
Statistic Portfolio Benchmark
Downside Volatility 5.42% 1.33%
Sortino Ratio -0.43 -0.16
Calmar Ratio -0.08 -0.04
Ulcer Index 14.14 15.78
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,327 $-313
VaR (99.9% Confidence) $-1,763 $-415
Beta to Benchmark 0.83 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.19

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0112 -0.0080 -0.0032
Style Factor 0.4833 -0.0128 0.4961
Size Factor 0.0112 0.0066 0.0046
U.S. Tilt (Non U.S.) -0.0169 -0.0190 0.0022

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution