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)

Policy Report

Backtest Report

From to (14y 8m 20d)

Returns (annualized)

Portfolio -1.74%
Benchmark 1.16%

Risk (annualized)

Portfolio 5.57%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.53
Benchmark -0.13

Excess Return (annualized)

-2.91%

Tracking Error (annualized)

5.47%

Information Ratio

-0.53
Statistic Portfolio Benchmark
Downside Volatility 5.33% 1.34%
Sortino Ratio -0.55 -0.13
Calmar Ratio -0.10 -0.03
Ulcer Index 14.28 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,296 $-312
VaR (99.9% Confidence) $-1,721 $-415
Beta to Benchmark 0.81 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.82

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0124 -0.0124
Style Factor 0.4831 0.4831
Size Factor 0.0093 0.0093
U.S. Tilt (Non U.S.) -0.0131 -0.0131

Adjusted R2

Portfolio 0.86
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution