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 6m 15d)
Returns (annualized)
| Portfolio | 1.15% |
| Benchmark | 11.69% |
Risk (annualized)
| Portfolio | 0.47% |
| Benchmark | 19.99% |
Sharpe (annualized)
| Portfolio | -0.25 |
| Benchmark | 0.59 |
Excess Return (annualized)
| -10.54% |
Tracking Error (annualized)
| 20.05% |
Information Ratio
| -0.53 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 0.67% | 21.22% |
| Sortino Ratio | -0.18 | 0.56 |
| Calmar Ratio | -0.15 | 0.23 |
| Ulcer Index | 15.83 | 14.88 |
| Max Drawdown | 0.78% | 51.49% |
| VaR (99% Confidence) | $-109 | $-4,648 |
| VaR (99.9% Confidence) | $-144 | $-6,175 |
| 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
| 62.51 |
Skew
| -0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0008 | 0.0125 | -0.0117 |
| Size Factor | 0.0023 | -0.0575 | 0.0598 |
| Market Factor | -0.0029 | 0.9820 | -0.9848 |
| U.S. Tilt (Non U.S.) | 0.0027 | 0.4006 | -0.3979 |
Adjusted R2
| Portfolio | 0.02 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |