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)

Policy Report

Backtest Report

From to (14y 6m 30d)

Returns (annualized)

Portfolio -1.42%
Benchmark 1.15%

Risk (annualized)

Portfolio 5.56%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.46
Benchmark -0.11

Excess Return (annualized)

-2.57%

Tracking Error (annualized)

5.46%

Information Ratio

-0.47
Statistic Portfolio Benchmark
Downside Volatility 5.28% 1.33%
Sortino Ratio -0.49 -0.12
Calmar Ratio -0.09 -0.03
Ulcer Index 14.30 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,292 $-311
VaR (99.9% Confidence) $-1,716 $-414
Beta to Benchmark 0.79 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.90

Skew

0.29
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0125 -0.0125
Style Factor 0.4825 0.4825
Size Factor 0.0099 0.0099
U.S. Tilt (Non U.S.) -0.0125 -0.0125

Adjusted R2

Portfolio 0.86
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution