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 9m 17d)

Returns (annualized)

Portfolio -1.21%
Benchmark 1.29%

Risk (annualized)

Portfolio 5.67%
Benchmark 1.35%

Sharpe (annualized)

Portfolio -0.45
Benchmark -0.15

Excess Return (annualized)

-2.50%

Tracking Error (annualized)

5.56%

Information Ratio

-0.45
Statistic Portfolio Benchmark
Downside Volatility 5.40% 1.33%
Sortino Ratio -0.47 -0.15
Calmar Ratio -0.09 -0.04
Ulcer Index 14.15 15.78
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,319 $-313
VaR (99.9% Confidence) $-1,752 $-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

4.27

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0113 -0.0081 -0.0032
Style Factor 0.4833 -0.0130 0.4963
Size Factor 0.0113 0.0067 0.0046
U.S. Tilt (Non U.S.) -0.0169 -0.0192 0.0023

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution