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 4m 20d)
Returns (annualized)
| Portfolio | 17.15% |
| Benchmark | 16.33% |
Risk (annualized)
| Portfolio | 12.85% |
| Benchmark | 9.93% |
Sharpe (annualized)
| Portfolio | 0.90 |
| Benchmark | 1.06 |
Excess Return (annualized)
| 0.81% |
Tracking Error (annualized)
| 5.14% |
Information Ratio
| 0.16 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.37% | 9.88% |
| Sortino Ratio | 0.87 | 1.07 |
| Calmar Ratio | 0.94 | 1.10 |
| Ulcer Index | 15.42 | 15.60 |
| Max Drawdown | 12.33% | 9.61% |
| VaR (99% Confidence) | $-2,986 | $-2,306 |
| VaR (99.9% Confidence) | $-3,966 | $-3,064 |
| Beta to Benchmark | 1.20 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 0.36 |
Skew
| -0.26 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.7922 | 0.7922 |
| Inflation Factor | 0.2019 | 0.2019 |
| Market Factor | 0.8260 | 0.8260 |
| Size Factor | 0.0366 | 0.0366 |
| Style Factor | 0.0431 | 0.0431 |
| U.S. Tilt (Non U.S.) | 0.0984 | 0.0984 |
| Yield Curve Factor | 0.2051 | 0.2051 |
Adjusted R2
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |