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 3m 16d)
Returns (annualized)
| Portfolio | 18.91% |
| Benchmark | 16.70% |
Risk (annualized)
| Portfolio | 13.69% |
| Benchmark | 11.83% |
Sharpe (annualized)
| Portfolio | 0.99 |
| Benchmark | 0.97 |
Excess Return (annualized)
| 2.20% |
Tracking Error (annualized)
| 5.63% |
Information Ratio
| 0.39 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.23% | 11.98% |
| Sortino Ratio | 0.95 | 0.96 |
| Calmar Ratio | 0.96 | 0.87 |
| Ulcer Index | 15.42 | 15.60 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,181 | $-2,749 |
| VaR (99.9% Confidence) | $-4,226 | $-3,652 |
| 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
| 5.31 |
Skew
| 0.02 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8417 | 0.1667 | 0.6749 |
| Inflation Factor | 0.2847 | 0.0117 | 0.2730 |
| Market Factor | 0.7953 | 0.8041 | -0.0088 |
| Size Factor | 0.0495 | 0.0040 | 0.0455 |
| Style Factor | 0.0316 | -0.0019 | 0.0335 |
| U.S. Tilt (Non U.S.) | 0.0437 | -0.0020 | 0.0457 |
| Yield Curve Factor | 0.2092 | 0.0065 | 0.2027 |
Adjusted R2
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |