O.P.T.R.A. Portfolio
Specification
Policy
| Rebalancing Interval | Annually |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
| 80% Global Equity, 20% Bonds |
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 7m 21d)
Returns (annualized)
| Portfolio | 16.46% |
| Benchmark | 16.32% |
Risk (annualized)
| Portfolio | 12.86% |
| Benchmark | 9.91% |
Sharpe (annualized)
| Portfolio | 0.87 |
| Benchmark | 1.08 |
Excess Return (annualized)
| 0.14% |
Tracking Error (annualized)
| 5.18% |
Information Ratio
| 0.03 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 13.54% | 10.10% |
| Sortino Ratio | 0.82 | 1.06 |
| Calmar Ratio | 0.90 | 1.11 |
| Ulcer Index | 15.42 | 15.61 |
| Max Drawdown | 12.33% | 9.61% |
| VaR (99% Confidence) | $-2,987 | $-2,302 |
| VaR (99.9% Confidence) | $-3,968 | $-3,058 |
| Beta to Benchmark | 1.21 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.12 |
Skew
| -0.41 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.8004 | 0.8004 |
| Inflation Factor | 0.2601 | 0.2601 |
| Market Factor | 0.8206 | 0.8206 |
| Size Factor | 0.0385 | 0.0385 |
| Style Factor | 0.0453 | 0.0453 |
| U.S. Tilt (Non U.S.) | 0.0963 | 0.0963 |
| Yield Curve Factor | 0.2054 | 0.2054 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |