O.P.T.R.A. Portfolio
Specification
Policy
| Rebalancing Interval | Annually |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
| Simple 60/40 |
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 2m 6d)
Returns (annualized)
| Portfolio | 17.40% |
| Benchmark | 13.99% |
Risk (annualized)
| Portfolio | 12.94% |
| Benchmark | 8.45% |
Sharpe (annualized)
| Portfolio | 0.90 |
| Benchmark | 0.98 |
Excess Return (annualized)
| 3.41% |
Tracking Error (annualized)
| 5.68% |
Information Ratio
| 0.60 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.45% | 8.36% |
| Sortino Ratio | 0.87 | 0.99 |
| Calmar Ratio | 0.95 | 0.99 |
| Ulcer Index | 15.38 | 15.61 |
| Max Drawdown | 12.33% | 8.35% |
| VaR (99% Confidence) | $-3,005 | $-1,963 |
| VaR (99.9% Confidence) | $-3,992 | $-2,607 |
| Beta to Benchmark | 1.45 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.43 |
Skew
| -0.24 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.7581 | 0.7581 |
| Inflation Factor | 0.1923 | 0.1923 |
| Market Factor | 0.8305 | 0.8305 |
| Size Factor | 0.0435 | 0.0435 |
| Style Factor | 0.0633 | 0.0633 |
| U.S. Tilt (Non U.S.) | 0.1457 | 0.1457 |
| Yield Curve Factor | 0.1980 | 0.1980 |
Adjusted R2
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |