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 4m 19d)
Returns (annualized)
| Portfolio | 16.89% |
| Benchmark | 15.75% |
Risk (annualized)
| Portfolio | 13.73% |
| Benchmark | 11.76% |
Sharpe (annualized)
| Portfolio | 0.87 |
| Benchmark | 0.91 |
Excess Return (annualized)
| 1.13% |
Tracking Error (annualized)
| 5.75% |
Information Ratio
| 0.20 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.23% | 11.96% |
| Sortino Ratio | 0.84 | 0.89 |
| Calmar Ratio | 0.85 | 0.81 |
| Ulcer Index | 15.43 | 15.60 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,190 | $-2,733 |
| VaR (99.9% Confidence) | $-4,238 | $-3,631 |
| 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
| 5.05 |
Skew
| 0.03 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8301 | 0.1666 | 0.6636 |
| Inflation Factor | 0.2659 | 0.0117 | 0.2542 |
| Market Factor | 0.7996 | 0.8041 | -0.0045 |
| Size Factor | 0.0576 | 0.0041 | 0.0535 |
| Style Factor | 0.0308 | -0.0020 | 0.0328 |
| U.S. Tilt (Non U.S.) | 0.0341 | -0.0021 | 0.0362 |
| Yield Curve Factor | 0.2089 | 0.0066 | 0.2023 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |