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 6m 28d)

Returns (annualized)

Portfolio -1.35%
Benchmark 1.31%

Risk (annualized)

Portfolio 5.62%
Benchmark 1.34%

Sharpe (annualized)

Portfolio -0.47
Benchmark -0.12

Excess Return (annualized)

-2.66%

Tracking Error (annualized)

5.51%

Information Ratio

-0.48
Statistic Portfolio Benchmark
Downside Volatility 5.36% 1.33%
Sortino Ratio -0.50 -0.12
Calmar Ratio -0.09 -0.03
Ulcer Index 14.17 15.77
Max Drawdown 28.30% 5.71%
VaR (99% Confidence) $-1,306 $-312
VaR (99.9% Confidence) $-1,736 $-415
Beta to Benchmark 0.85 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.39

Skew

0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor -0.0117 -0.0086 -0.0032
Style Factor 0.4838 -0.0126 0.4964
Size Factor 0.0102 0.0060 0.0043
U.S. Tilt (Non U.S.) -0.0154 -0.0179 0.0026

Adjusted R2

Portfolio 0.87
Benchmark 0.02

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution