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 (14y 3m 24d)

Returns (annualized)

Portfolio -1.84%
Benchmark 1.05%

Risk (annualized)

Portfolio 5.42%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.55
Benchmark -0.15

Excess Return (annualized)

-2.89%

Tracking Error (annualized)

5.35%

Information Ratio

-0.54
Statistic Portfolio Benchmark
Downside Volatility 5.16% 1.33%
Sortino Ratio -0.58 -0.15
Calmar Ratio -0.10 -0.04
Ulcer Index 14.33 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,261 $-310
VaR (99.9% Confidence) $-1,675 $-412
Beta to Benchmark 0.73 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.62

Skew

0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor -0.0124 -0.0124
Style Factor 0.4805 0.4805
Size Factor 0.0108 0.0108
U.S. Tilt (Non U.S.) -0.0123 -0.0123

Adjusted R2

Portfolio 0.85
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution