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 8m 26d)

Returns (annualized)

Portfolio -1.26%
Benchmark 1.29%

Risk (annualized)

Portfolio 5.63%
Benchmark 1.35%

Sharpe (annualized)

Portfolio -0.46
Benchmark -0.15

Excess Return (annualized)

-2.55%

Tracking Error (annualized)

5.52%

Information Ratio

-0.46
Statistic Portfolio Benchmark
Downside Volatility 5.36% 1.34%
Sortino Ratio -0.49 -0.15
Calmar Ratio -0.09 -0.04
Ulcer Index 14.15 15.78
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,308 $-313
VaR (99.9% Confidence) $-1,738 $-415
Beta to Benchmark 0.84 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.31

Skew

0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0112 -0.0080 -0.0031
Style Factor 0.4833 -0.0131 0.4964
Size Factor 0.0109 0.0066 0.0043
U.S. Tilt (Non U.S.) -0.0168 -0.0193 0.0024

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution