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 (18y 2m 17d)
Returns (annualized)
| Portfolio | 1.24% |
| Benchmark | 12.04% |
Risk (annualized)
| Portfolio | 0.46% |
| Benchmark | 19.78% |
Sharpe (annualized)
| Portfolio | -0.24 |
| Benchmark | 0.61 |
Excess Return (annualized)
| -10.80% |
Tracking Error (annualized)
| 19.85% |
Information Ratio
| -0.54 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 0.67% | 21.00% |
| Sortino Ratio | -0.17 | 0.57 |
| Calmar Ratio | -0.14 | 0.23 |
| Ulcer Index | 15.83 | 14.91 |
| Max Drawdown | 0.78% | 51.49% |
| VaR (99% Confidence) | $-107 | $-4,601 |
| VaR (99.9% Confidence) | $-142 | $-6,112 |
| 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
| 63.57 |
Skew
| -0.26 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0008 | 0.0116 | -0.0108 |
| Size Factor | 0.0023 | -0.0567 | 0.0590 |
| Market Factor | -0.0028 | 0.9822 | -0.9850 |
| U.S. Tilt (Non U.S.) | 0.0027 | 0.3991 | -0.3964 |
Adjusted R2
| Portfolio | 0.02 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |