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 7m 13d)
Returns (annualized)
| Portfolio | 20.21% |
| Benchmark | 16.79% |
Risk (annualized)
| Portfolio | 13.84% |
| Benchmark | 11.57% |
Sharpe (annualized)
| Portfolio | 1.07 |
| Benchmark | 1.01 |
Excess Return (annualized)
| 3.42% |
Tracking Error (annualized)
| 6.13% |
Information Ratio
| 0.56 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.41% | 11.79% |
| Sortino Ratio | 1.03 | 0.99 |
| Calmar Ratio | 1.05 | 0.88 |
| Ulcer Index | 15.45 | 15.62 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,216 | $-2,688 |
| VaR (99.9% Confidence) | $-4,272 | $-3,571 |
| Beta to Benchmark | 1.08 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 4.70 |
Skew
| -0.05 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8232 | 0.1662 | 0.6569 |
| Inflation Factor | 0.2897 | 0.0117 | 0.2781 |
| Market Factor | 0.8072 | 0.8043 | 0.0029 |
| Size Factor | 0.0748 | 0.0037 | 0.0711 |
| Style Factor | 0.0247 | -0.0018 | 0.0265 |
| U.S. Tilt (Non U.S.) | 0.0053 | -0.0019 | 0.0072 |
| Yield Curve Factor | 0.2134 | 0.0066 | 0.2068 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |