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 8m 25d)
Returns (annualized)
| Portfolio | 16.06% |
| Benchmark | 13.19% |
Risk (annualized)
| Portfolio | 14.00% |
| Benchmark | 11.71% |
Sharpe (annualized)
| Portfolio | 0.81 |
| Benchmark | 0.73 |
Excess Return (annualized)
| 2.87% |
Tracking Error (annualized)
| 6.21% |
Information Ratio
| 0.46 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.76% | 12.05% |
| Sortino Ratio | 0.77 | 0.71 |
| Calmar Ratio | 0.81 | 0.65 |
| Ulcer Index | 15.44 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,254 | $-2,722 |
| VaR (99.9% Confidence) | $-4,322 | $-3,616 |
| 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
| 4.34 |
Skew
| -0.11 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8283 | 0.1660 | 0.6623 |
| Inflation Factor | 0.3115 | 0.0113 | 0.3002 |
| Market Factor | 0.8147 | 0.8043 | 0.0104 |
| Size Factor | 0.0652 | 0.0039 | 0.0613 |
| Style Factor | 0.0345 | -0.0018 | 0.0364 |
| U.S. Tilt (Non U.S.) | -0.0009 | -0.0017 | 0.0009 |
| Yield Curve Factor | 0.2008 | 0.0067 | 0.1941 |
Adjusted R2
| Portfolio | 0.90 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |