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 10m 8d)
Returns (annualized)
| Portfolio | 19.66% |
| Benchmark | 17.42% |
Risk (annualized)
| Portfolio | 13.97% |
| Benchmark | 11.86% |
Sharpe (annualized)
| Portfolio | 1.03 |
| Benchmark | 1.04 |
Excess Return (annualized)
| 2.24% |
Tracking Error (annualized)
| 6.15% |
Information Ratio
| 0.37 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.58% | 11.93% |
| Sortino Ratio | 0.99 | 1.03 |
| Calmar Ratio | 1.03 | 0.93 |
| Ulcer Index | 15.44 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,247 | $-2,756 |
| VaR (99.9% Confidence) | $-4,314 | $-3,661 |
| 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
| 4.21 |
Skew
| -0.10 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8337 | 0.1658 | 0.6679 |
| Inflation Factor | 0.3199 | 0.0107 | 0.3092 |
| Market Factor | 0.8051 | 0.8045 | 0.0007 |
| Size Factor | 0.0650 | 0.0038 | 0.0612 |
| Style Factor | 0.0310 | -0.0017 | 0.0327 |
| U.S. Tilt (Non U.S.) | 0.0074 | -0.0019 | 0.0093 |
| Yield Curve Factor | 0.2023 | 0.0067 | 0.1955 |
Adjusted R2
| Portfolio | 0.90 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |