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 5m 9d)
Returns (annualized)
| Portfolio | 18.11% |
| Benchmark | 16.53% |
Risk (annualized)
| Portfolio | 13.67% |
| Benchmark | 11.70% |
Sharpe (annualized)
| Portfolio | 0.95 |
| Benchmark | 0.97 |
Excess Return (annualized)
| 1.58% |
Tracking Error (annualized)
| 5.72% |
Information Ratio
| 0.28 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.15% | 11.93% |
| Sortino Ratio | 0.91 | 0.95 |
| Calmar Ratio | 0.92 | 0.86 |
| Ulcer Index | 15.43 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,178 | $-2,720 |
| VaR (99.9% Confidence) | $-4,222 | $-3,613 |
| 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
| 5.01 |
Skew
| 0.03 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8291 | 0.1666 | 0.6625 |
| Inflation Factor | 0.2563 | 0.0117 | 0.2446 |
| Market Factor | 0.7996 | 0.8041 | -0.0045 |
| Size Factor | 0.0570 | 0.0039 | 0.0531 |
| Style Factor | 0.0298 | -0.0021 | 0.0318 |
| U.S. Tilt (Non U.S.) | 0.0361 | -0.0022 | 0.0383 |
| Yield Curve Factor | 0.2102 | 0.0066 | 0.2036 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |