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.
Assets Report
Policy Report
Backtest Report
From to (16y 3m 24d)
Returns (annualized)
Portfolio | 0.90% |
Benchmark | 11.11% |
Risk (annualized)
Portfolio | 0.48% |
Benchmark | 20.07% |
Sharpe (annualized)
Portfolio | -0.29 |
Benchmark | 0.57 |
Excess Return (annualized)
-10.21% |
Tracking Error (annualized)
20.13% |
Risk Free Rate (annualized)
1.04% |
Growth Charts
Return Distribution
Excess Kurtosis
61.75 |
Skew
-0.17 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Style Factor | 0.0010 | 0.0010 |
Size Factor | 0.0025 | 0.0025 |
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 |