O.P.T.R.A. Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Annually |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
“One Portfolio To Rule (them) All” is a concept created by Frank Vasquez at Risk Parity Radio. It aims to confirm with all of his espoused principles, namely:
The holy grail principle: Always be maximally diversified
The macro allocation principle: Make sure the big picture allocations make sense at the asset class level
The simplicity principle: Don’t add unnecessary complexity
Policy Report
Backtest Report
From to (2y 1m 29d)
Returns (annualized)
| Portfolio | 15.14% |
| Benchmark | 16.36% |
Risk (annualized)
| Portfolio | 13.80% |
| Benchmark | 12.00% |
Sharpe (annualized)
| Portfolio | 0.75 |
| Benchmark | 0.93 |
Excess Return (annualized)
| -1.22% |
Tracking Error (annualized)
| 5.61% |
Information Ratio
| -0.22 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.38% | 12.06% |
| Sortino Ratio | 0.72 | 0.92 |
| Calmar Ratio | 0.73 | 0.84 |
| Ulcer Index | 15.39 | 15.59 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,207 | $-2,789 |
| VaR (99.9% Confidence) | $-4,261 | $-3,705 |
| Beta to Benchmark | 1.05 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.42 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8385 | 0.1669 | 0.6716 |
| Inflation Factor | 0.2835 | 0.0116 | 0.2719 |
| Market Factor | 0.7934 | 0.8039 | -0.0105 |
| Size Factor | 0.0453 | 0.0041 | 0.0412 |
| Style Factor | 0.0400 | -0.0018 | 0.0418 |
| U.S. Tilt (Non U.S.) | 0.0546 | -0.0019 | 0.0565 |
| Yield Curve Factor | 0.2074 | 0.0065 | 0.2009 |
Adjusted R2
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |