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 (3y 10d)
Returns (annualized)
| Portfolio | 18.06% |
| Benchmark | 17.00% |
Risk (annualized)
| Portfolio | 14.06% |
| Benchmark | 11.94% |
Sharpe (annualized)
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Excess Return (annualized)
| 1.06% |
Tracking Error (annualized)
| 6.04% |
Information Ratio
| 0.18 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.84% | 12.13% |
| Sortino Ratio | 0.89 | 0.99 |
| Calmar Ratio | 0.94 | 0.91 |
| Ulcer Index | 15.44 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,269 | $-2,775 |
| VaR (99.9% Confidence) | $-4,342 | $-3,686 |
| 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
| 4.02 |
Skew
| -0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8346 | 0.1655 | 0.6691 |
| Inflation Factor | 0.3296 | 0.0111 | 0.3185 |
| Market Factor | 0.8120 | 0.8053 | 0.0066 |
| Size Factor | 0.0568 | 0.0036 | 0.0532 |
| Style Factor | 0.0348 | -0.0016 | 0.0364 |
| U.S. Tilt (Non U.S.) | 0.0123 | -0.0026 | 0.0149 |
| Yield Curve Factor | 0.1961 | 0.0064 | 0.1897 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |