O.P.T.R.A. Portfolio

Portfolio Specification

Assets

ProShares UltraPro S&P 500 ETF 3x Shares (UPRO)16.00%
AVANTIS ALL EQUITY MARKETS VALUE ETF (AVGV)24.00%
ISHARES 25+ YEAR TREASURY STRIPS BOND ETF (GOVZ)24.00%
SPDR Gold MiniShares Trust (GLDM)18.00%
IMGP DBI MANAGED FUTURES STRATEGY ETF (DBMF)18.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

80% Global Equity, 20% Bonds

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 10d)

Returns (annualized)

Portfolio 14.48%
Benchmark 15.88%

Risk (annualized)

Portfolio 14.03%
Benchmark 12.24%

Sharpe (annualized)

Portfolio 0.69
Benchmark 0.87

Excess Return (annualized)

-1.40%

Tracking Error (annualized)

5.65%

Information Ratio

-0.25
Statistic Portfolio Benchmark
Downside Volatility 14.70% 12.44%
Sortino Ratio 0.66 0.86
Calmar Ratio 0.69 0.81
Ulcer Index 15.37 15.57
Max Drawdown 14.05% 13.22%
VaR (99% Confidence) $-3,261 $-2,844
VaR (99.9% Confidence) $-4,332 $-3,778
Beta to Benchmark 1.05 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.36

Skew

0.03
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.8247 0.8247
Inflation Factor 0.2716 0.2716
Market Factor 0.7940 0.7940
Size Factor 0.0436 0.0436
Style Factor 0.0378 0.0378
U.S. Tilt (Non U.S.) 0.0537 0.0537
Yield Curve Factor 0.2098 0.2098

Adjusted R2

Portfolio 0.94
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution