Risk Free

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
SPDR S&P 500 ETF Trust (SPY)

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 (15y 11m )

Returns (annualized)

Portfolio 1.09%
Benchmark 11.02%

Risk (annualized)

Portfolio 1.45%
Benchmark 20.24%

Sharpe (annualized)

Portfolio 0.11
Benchmark 0.57

Excess Return (annualized)

-9.93%

Tracking Error (annualized)

20.62%

Risk Free Rate (annualized)

0.94%

Growth Charts

Return Distribution

Excess Kurtosis

10.93

Skew

0.43
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Style Factor 0.0038 0.0038
Size Factor 0.0188 0.0188
Market Factor -0.0167 -0.0167
U.S. Tilt (Non U.S.) 0.0044 0.0044

Adjusted R2

Portfolio 0.07
Benchmark 0.96

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution