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 6m 4d)

Returns (annualized)

Portfolio -1.19%
Benchmark 1.28%

Risk (annualized)

Portfolio 5.62%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.44
Benchmark -0.13

Excess Return (annualized)

-2.47%

Tracking Error (annualized)

5.50%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 5.34% 1.33%
Sortino Ratio -0.47 -0.14
Calmar Ratio -0.09 -0.03
Ulcer Index 14.17 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,306 $-312
VaR (99.9% Confidence) $-1,735 $-415
Beta to Benchmark 0.85 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.41

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0119 -0.0087 -0.0032
Style Factor 0.4841 -0.0124 0.4965
Size Factor 0.0101 0.0059 0.0042
U.S. Tilt (Non U.S.) -0.0150 -0.0177 0.0027

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution