Risk Free

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 4m)

Returns (annualized)

Portfolio 1.11%
Benchmark 11.43%

Risk (annualized)

Portfolio 0.47%
Benchmark 20.07%

Sharpe (annualized)

Portfolio -0.26
Benchmark 0.58

Excess Return (annualized)

-10.32%

Tracking Error (annualized)

20.14%

Information Ratio

-0.51
Statistic Portfolio Benchmark
Downside Volatility 0.67% 21.32%
Sortino Ratio -0.18 0.54
Calmar Ratio -0.16 0.23
Ulcer Index 15.83 14.87
Max Drawdown 0.78% 51.49%
VaR (99% Confidence) $-109 $-4,668
VaR (99.9% Confidence) $-145 $-6,201
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

62.22

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0009 0.0009
Size Factor 0.0023 0.0023
Market Factor -0.0029 -0.0029
U.S. Tilt (Non U.S.) 0.0027 0.0027

Adjusted R2

Portfolio 0.02
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution