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 6m 24d)
Returns (annualized)
Portfolio | 0.97% |
Benchmark | 11.44% |
Risk (annualized)
Portfolio | 0.48% |
Benchmark | 19.99% |
Sharpe (annualized)
Portfolio | -0.28 |
Benchmark | 0.59 |
Excess Return (annualized)
-10.47% |
Tracking Error (annualized)
20.06% |
Information Ratio
-0.52 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 0.67% | 21.27% |
Sortino Ratio | -0.20 | 0.55 |
Calmar Ratio | -0.17 | 0.23 |
Ulcer Index | 15.83 | 14.85 |
Max Drawdown | 0.78% | 51.49% |
VaR (99% Confidence) | $-111 | $-4,650 |
VaR (99.9% Confidence) | $-147 | $-6,177 |
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
61.55 |
Skew
-0.18 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | 0.0010 | 0.0010 |
Size Factor | 0.0024 | 0.0024 |
Market Factor | -0.0029 | -0.0029 |
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 |