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 21d)
Returns (annualized)
| Portfolio | 19.20% |
| Benchmark | 16.71% |
Risk (annualized)
| Portfolio | 13.99% |
| Benchmark | 11.83% |
Sharpe (annualized)
| Portfolio | 1.00 |
| Benchmark | 0.98 |
Excess Return (annualized)
| 2.49% |
Tracking Error (annualized)
| 6.18% |
Information Ratio
| 0.40 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.66% | 11.98% |
| Sortino Ratio | 0.96 | 0.97 |
| Calmar Ratio | 1.00 | 0.88 |
| Ulcer Index | 15.44 | 15.60 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,252 | $-2,749 |
| VaR (99.9% Confidence) | $-4,320 | $-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
| 4.29 |
Skew
| -0.11 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8302 | 0.1661 | 0.6642 |
| Inflation Factor | 0.3171 | 0.0116 | 0.3055 |
| Market Factor | 0.8102 | 0.8042 | 0.0060 |
| Size Factor | 0.0651 | 0.0038 | 0.0613 |
| Style Factor | 0.0350 | -0.0017 | 0.0367 |
| U.S. Tilt (Non U.S.) | 0.0037 | -0.0016 | 0.0053 |
| Yield Curve Factor | 0.1998 | 0.0068 | 0.1931 |
Adjusted R2
| Portfolio | 0.90 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |