Risk Free
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
Benchmark
| SPDR S&P 500 ETF Trust (SPY) |
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 (16y 18d)
Returns (annualized)
| Portfolio | 0.83% |
|---|---|
| Benchmark | 10.70% |
Risk (annualized)
| Portfolio | 0.48% |
|---|---|
| Benchmark | 20.18% |
Sharpe (annualized)
| Portfolio | -0.29 |
|---|---|
| Benchmark | 0.56 |
Excess Return (annualized)
| -9.87% |
Tracking Error (annualized)
| 20.25% |
Risk Free Rate (annualized)
| 0.97% |
Growth Charts
Return Distribution
Excess Kurtosis
| 61.89 |
Skew
| -0.16 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Style Factor | 0.0010 | 0.0010 |
| Size Factor | 0.0026 | 0.0026 |
| Market Factor | -0.0030 | -0.0030 |
| U.S. Tilt (Non U.S.) | 0.0028 | 0.0028 |
Adjusted R2
| Portfolio | 0.02 |
|---|---|
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |