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 (13y 7m 10d)

Returns (annualized)

Portfolio -1.85%
Benchmark 0.83%

Risk (annualized)

Portfolio 5.25%
Benchmark 1.32%

Sharpe (annualized)

Portfolio -0.53
Benchmark -0.18

Excess Return (annualized)

-2.68%

Tracking Error (annualized)

5.19%

Risk Free Rate (annualized)

1.08%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.99

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0126 -0.0126
Style Factor 0.4794 0.4794
Size Factor 0.0106 0.0106
U.S. Tilt (Non U.S.) -0.0117 -0.0117

Adjusted R2

Portfolio 0.84
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution