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 5m 11d)

Returns (annualized)

Portfolio -1.31%
Benchmark 1.31%

Risk (annualized)

Portfolio 5.62%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.47
Benchmark -0.11

Excess Return (annualized)

-2.62%

Tracking Error (annualized)

5.50%

Information Ratio

-0.48
Statistic Portfolio Benchmark
Downside Volatility 5.35% 1.32%
Sortino Ratio -0.49 -0.11
Calmar Ratio -0.09 -0.02
Ulcer Index 14.18 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,306 $-311
VaR (99.9% Confidence) $-1,735 $-413
Beta to Benchmark 0.86 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.42

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0123 -0.0090 -0.0033
Style Factor 0.4846 -0.0119 0.4965
Size Factor 0.0099 0.0057 0.0042
U.S. Tilt (Non U.S.) -0.0139 -0.0166 0.0027

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution