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 (4m 21d)

Returns

Portfolio 2.41%
Benchmark 1.79%

Risk (annualized)

Portfolio 6.31%
Benchmark 1.10%

Sharpe (annualized)

Portfolio 0.40
Benchmark 0.71

Excess Return

0.62%

Tracking Error (annualized)

5.97%

Information Ratio

0.27
Statistic Portfolio Benchmark
Downside Volatility 5.67% 0.95%
Sortino Ratio 0.44 0.83
Calmar Ratio 0.71 3.53
Ulcer Index 15.70 15.87
Max Drawdown 3.53% 0.22%
VaR (99% Confidence) $-1,461 $-255
VaR (99.9% Confidence) $-1,940 $-338
Beta to Benchmark 2.21 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

-0.70

Skew

0.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.0086 0.0118 -0.0032
Style Factor 0.5090 0.0151 0.4938
Size Factor 0.0215 0.0177 0.0038
U.S. Tilt (Non U.S.) -0.0256 -0.0280 0.0024

Adjusted R2

Portfolio 0.97
Benchmark 0.09

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution