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 8m 6d)

Returns (annualized)

Portfolio -1.43%
Benchmark 1.30%

Risk (annualized)

Portfolio 5.62%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.49
Benchmark -0.14

Excess Return (annualized)

-2.73%

Tracking Error (annualized)

5.51%

Information Ratio

-0.50
Statistic Portfolio Benchmark
Downside Volatility 5.36% 1.33%
Sortino Ratio -0.52 -0.14
Calmar Ratio -0.10 -0.03
Ulcer Index 14.16 15.78
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,307 $-312
VaR (99.9% Confidence) $-1,736 $-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

4.36

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0115 -0.0083 -0.0032
Style Factor 0.4835 -0.0129 0.4964
Size Factor 0.0107 0.0064 0.0043
U.S. Tilt (Non U.S.) -0.0165 -0.0190 0.0025

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution