O.P.T.R.A. Portfolio
Specification
Policy
Rebalancing Interval | Annually |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
Simple 60/40 |
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 3m 25d)
Returns (annualized)
Portfolio | 17.95% |
Benchmark | 13.65% |
Risk (annualized)
Portfolio | 12.80% |
Benchmark | 8.29% |
Sharpe (annualized)
Portfolio | 0.95 |
Benchmark | 0.97 |
Excess Return (annualized)
4.30% |
Tracking Error (annualized)
5.65% |
Information Ratio
0.76 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 13.23% | 8.18% |
Sortino Ratio | 0.92 | 0.98 |
Calmar Ratio | 0.99 | 0.96 |
Ulcer Index | 15.42 | 15.63 |
Max Drawdown | 12.33% | 8.35% |
VaR (99% Confidence) | $-2,974 | $-1,924 |
VaR (99.9% Confidence) | $-3,950 | $-2,556 |
Beta to Benchmark | 1.46 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
0.41 |
Skew
-0.24 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 0.7749 | 0.7749 |
Inflation Factor | 0.2047 | 0.2047 |
Market Factor | 0.8289 | 0.8289 |
Size Factor | 0.0460 | 0.0460 |
Style Factor | 0.0555 | 0.0555 |
U.S. Tilt (Non U.S.) | 0.1322 | 0.1322 |
Yield Curve Factor | 0.1988 | 0.1988 |
Adjusted R2
Portfolio | 0.94 |
Benchmark | 1.00 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |