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 (3y 29d)
Returns (annualized)
| Portfolio | 16.54% |
| Benchmark | 15.63% |
Risk (annualized)
| Portfolio | 14.04% |
| Benchmark | 11.92% |
Sharpe (annualized)
| Portfolio | 0.85 |
| Benchmark | 0.91 |
Excess Return (annualized)
| 0.91% |
Tracking Error (annualized)
| 6.00% |
Information Ratio
| 0.15 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.84% | 12.13% |
| Sortino Ratio | 0.80 | 0.89 |
| Calmar Ratio | 0.84 | 0.82 |
| Ulcer Index | 15.44 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,265 | $-2,770 |
| VaR (99.9% Confidence) | $-4,337 | $-3,680 |
| Beta to Benchmark | 1.07 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.97 |
Skew
| -0.14 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8336 | 0.1655 | 0.6681 |
| Inflation Factor | 0.3284 | 0.0110 | 0.3174 |
| Market Factor | 0.8112 | 0.8054 | 0.0058 |
| Size Factor | 0.0586 | 0.0035 | 0.0552 |
| Style Factor | 0.0307 | -0.0015 | 0.0322 |
| U.S. Tilt (Non U.S.) | 0.0077 | -0.0025 | 0.0102 |
| Yield Curve Factor | 0.1983 | 0.0063 | 0.1920 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |