Risk Free
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
“Risk Free” captures exposure to cash and cash equivalents.
It is proxied through a 1-3 year Treasury Bond basket.
Policy Report
Backtest Report
From to (17y 4m 14d)
Returns (annualized)
| Portfolio | 1.12% |
| Benchmark | 11.63% |
Risk (annualized)
| Portfolio | 0.47% |
| Benchmark | 20.06% |
Sharpe (annualized)
| Portfolio | -0.26 |
| Benchmark | 0.59 |
Excess Return (annualized)
| -10.50% |
Tracking Error (annualized)
| 20.12% |
Information Ratio
| -0.52 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 0.67% | 21.30% |
| Sortino Ratio | -0.18 | 0.55 |
| Calmar Ratio | -0.15 | 0.23 |
| Ulcer Index | 15.83 | 14.88 |
| Max Drawdown | 0.78% | 51.49% |
| VaR (99% Confidence) | $-109 | $-4,665 |
| VaR (99.9% Confidence) | $-145 | $-6,196 |
| Beta to Benchmark | 0.00 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Return Distribution
Excess Kurtosis
| 62.26 |
Skew
| -0.22 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0009 | 0.0125 | -0.0116 |
| Size Factor | 0.0023 | -0.0576 | 0.0598 |
| Market Factor | -0.0029 | 0.9819 | -0.9848 |
| U.S. Tilt (Non U.S.) | 0.0027 | 0.4007 | -0.3980 |
Adjusted R2
| Portfolio | 0.02 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |