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 2m 26d)

Returns (annualized)

Portfolio -2.02%
Benchmark 1.03%

Risk (annualized)

Portfolio 5.41%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.58
Benchmark -0.16

Excess Return (annualized)

-3.04%

Tracking Error (annualized)

5.34%

Information Ratio

-0.57
Statistic Portfolio Benchmark
Downside Volatility 5.16% 1.33%
Sortino Ratio -0.61 -0.16
Calmar Ratio -0.11 -0.04
Ulcer Index 14.35 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,258 $-310
VaR (99.9% Confidence) $-1,672 $-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

4.68

Skew

0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0125 -0.0125
Style Factor 0.4807 0.4807
Size Factor 0.0106 0.0106
U.S. Tilt (Non U.S.) -0.0124 -0.0124

Adjusted R2

Portfolio 0.85
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution