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 (4m 21d)
Returns
| Portfolio | 1.58% |
| Benchmark | 9.41% |
Risk (annualized)
| Portfolio | 0.20% |
| Benchmark | 11.19% |
Sharpe (annualized)
| Portfolio | 1.21 |
| Benchmark | 1.77 |
Excess Return
| -7.84% |
Tracking Error (annualized)
| 11.20% |
Information Ratio
| -1.94 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 0.17% | 12.15% |
| Sortino Ratio | 1.39 | 1.63 |
| Calmar Ratio | 22.13 | 3.90 |
| Ulcer Index | 15.87 | 15.74 |
| Max Drawdown | 0.01% | 5.07% |
| VaR (99% Confidence) | $-46 | $-2,590 |
| VaR (99.9% Confidence) | $-61 | $-3,441 |
| 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
| -0.31 |
Skew
| 0.52 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | -0.0001 | 0.0118 | -0.0118 |
| Size Factor | 0.0004 | -0.0500 | 0.0504 |
| Market Factor | -0.0009 | 1.0004 | -1.0013 |
| U.S. Tilt (Non U.S.) | 0.0003 | 0.3524 | -0.3520 |
Adjusted R2
| Portfolio | -0.04 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |