O.P.T.R.A. Portfolio
Specification
Policy
| Rebalancing Interval | Annually |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
| 80-20 |
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 (1y 5m 19d)
Returns (annualized)
| Portfolio | 14.13% |
| Benchmark | 14.56% |
Risk (annualized)
| Portfolio | 13.02% |
| Benchmark | 9.95% |
Sharpe (annualized)
| Portfolio | 0.70 |
| Benchmark | 0.91 |
Excess Return (annualized)
| -0.42% |
Tracking Error (annualized)
| 5.23% |
Information Ratio
| -0.08 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.82% | 10.17% |
| Sortino Ratio | 0.65 | 0.89 |
| Calmar Ratio | 0.73 | 0.94 |
| Ulcer Index | 15.44 | 15.60 |
| Max Drawdown | 12.33% | 9.61% |
| VaR (99% Confidence) | $-3,024 | $-2,311 |
| VaR (99.9% Confidence) | $-4,018 | $-3,071 |
| Beta to Benchmark | 1.22 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.15 |
Skew
| -0.44 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.7928 | 0.7928 |
| Inflation Factor | 0.2382 | 0.2382 |
| Market Factor | 0.8348 | 0.8348 |
| Size Factor | 0.0293 | 0.0293 |
| Style Factor | 0.0534 | 0.0534 |
| U.S. Tilt (Non U.S.) | 0.1010 | 0.1010 |
| Yield Curve Factor | 0.1992 | 0.1992 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |