Risk Free

Portfolio Specification

Policy

Rebalancing Interval Daily
Weights Algorithm Constant Weights

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 1m 5d)

Returns (annualized)

Portfolio 1.07%
Benchmark 10.89%

Risk (annualized)

Portfolio 0.47%
Benchmark 20.16%

Sharpe (annualized)

Portfolio -0.26
Benchmark 0.55

Excess Return (annualized)

-9.82%

Tracking Error (annualized)

20.22%

Information Ratio

-0.49
Statistic Portfolio Benchmark
Downside Volatility 0.67% 21.42%
Sortino Ratio -0.18 0.52
Calmar Ratio -0.16 0.22
Ulcer Index 15.83 14.86
Max Drawdown 0.78% 51.49%
VaR (99% Confidence) $-109 $-4,689
VaR (99.9% Confidence) $-146 $-6,229
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

62.02

Skew

-0.21
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