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 11m 19d)
Returns (annualized)
| Portfolio | 18.78% |
| Benchmark | 17.41% |
Risk (annualized)
| Portfolio | 14.11% |
| Benchmark | 11.96% |
Sharpe (annualized)
| Portfolio | 0.98 |
| Benchmark | 1.03 |
Excess Return (annualized)
| 1.37% |
Tracking Error (annualized)
| 6.08% |
Information Ratio
| 0.23 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.88% | 12.14% |
| Sortino Ratio | 0.92 | 1.01 |
| Calmar Ratio | 0.98 | 0.93 |
| Ulcer Index | 15.45 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,279 | $-2,780 |
| VaR (99.9% Confidence) | $-4,356 | $-3,693 |
| Beta to Benchmark | 1.07 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.04 |
Skew
| -0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8360 | 0.1659 | 0.6701 |
| Inflation Factor | 0.3277 | 0.0112 | 0.3165 |
| Market Factor | 0.8101 | 0.8050 | 0.0051 |
| Size Factor | 0.0598 | 0.0039 | 0.0559 |
| Style Factor | 0.0327 | -0.0020 | 0.0347 |
| U.S. Tilt (Non U.S.) | 0.0114 | -0.0024 | 0.0138 |
| Yield Curve Factor | 0.1968 | 0.0064 | 0.1904 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |