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 (17y 11m 5d)
Returns (annualized)
| Portfolio | 1.21% |
| Benchmark | 11.56% |
Risk (annualized)
| Portfolio | 0.47% |
| Benchmark | 19.85% |
Sharpe (annualized)
| Portfolio | -0.24 |
| Benchmark | 0.58 |
Excess Return (annualized)
| -10.35% |
Tracking Error (annualized)
| 19.91% |
Information Ratio
| -0.52 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 0.67% | 21.07% |
| Sortino Ratio | -0.17 | 0.55 |
| Calmar Ratio | -0.14 | 0.23 |
| Ulcer Index | 15.83 | 14.90 |
| Max Drawdown | 0.78% | 51.49% |
| VaR (99% Confidence) | $-108 | $-4,616 |
| VaR (99.9% Confidence) | $-143 | $-6,132 |
| 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
| 63.10 |
Skew
| -0.25 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Style Factor | 0.0008 | 0.0125 | -0.0117 |
| Size Factor | 0.0023 | -0.0572 | 0.0595 |
| Market Factor | -0.0028 | 0.9820 | -0.9848 |
| U.S. Tilt (Non U.S.) | 0.0026 | 0.4001 | -0.3975 |
Adjusted R2
| Portfolio | 0.02 |
| Benchmark | 0.97 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |