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 9m 10d)
Returns (annualized)
| Portfolio | 18.35% |
| Benchmark | 15.63% |
Risk (annualized)
| Portfolio | 14.03% |
| Benchmark | 11.85% |
Sharpe (annualized)
| Portfolio | 0.95 |
| Benchmark | 0.90 |
Excess Return (annualized)
| 2.72% |
Tracking Error (annualized)
| 6.20% |
Information Ratio
| 0.44 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.73% | 12.01% |
| Sortino Ratio | 0.90 | 0.89 |
| Calmar Ratio | 0.95 | 0.81 |
| Ulcer Index | 15.44 | 15.60 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,261 | $-2,753 |
| VaR (99.9% Confidence) | $-4,331 | $-3,657 |
| Beta to Benchmark | 1.06 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.28 |
Skew
| -0.10 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8324 | 0.1662 | 0.6663 |
| Inflation Factor | 0.3203 | 0.0118 | 0.3085 |
| Market Factor | 0.8097 | 0.8042 | 0.0055 |
| Size Factor | 0.0664 | 0.0038 | 0.0626 |
| Style Factor | 0.0326 | -0.0018 | 0.0343 |
| U.S. Tilt (Non U.S.) | 0.0035 | -0.0017 | 0.0052 |
| Yield Curve Factor | 0.1997 | 0.0068 | 0.1930 |
Adjusted R2
| Portfolio | 0.90 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |