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 4d)
Returns (annualized)
| Portfolio | 19.50% |
| Benchmark | 15.41% |
Risk (annualized)
| Portfolio | 13.84% |
| Benchmark | 11.56% |
Sharpe (annualized)
| Portfolio | 1.03 |
| Benchmark | 0.90 |
Excess Return (annualized)
| 4.09% |
Tracking Error (annualized)
| 6.16% |
Information Ratio
| 0.66 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.48% | 11.83% |
| Sortino Ratio | 0.98 | 0.88 |
| Calmar Ratio | 1.01 | 0.79 |
| Ulcer Index | 15.46 | 15.62 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,217 | $-2,687 |
| VaR (99.9% Confidence) | $-4,274 | $-3,570 |
| 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
| 4.64 |
Skew
| -0.08 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8204 | 0.1660 | 0.6544 |
| Inflation Factor | 0.2888 | 0.0114 | 0.2773 |
| Market Factor | 0.8130 | 0.8043 | 0.0086 |
| Size Factor | 0.0706 | 0.0038 | 0.0667 |
| Style Factor | 0.0305 | -0.0019 | 0.0325 |
| U.S. Tilt (Non U.S.) | -0.0027 | -0.0018 | -0.0008 |
| Yield Curve Factor | 0.2095 | 0.0066 | 0.2029 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |