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 6m 22d)
Returns (annualized)
| Portfolio | 19.61% |
| Benchmark | 16.73% |
Risk (annualized)
| Portfolio | 13.61% |
| Benchmark | 11.59% |
Sharpe (annualized)
| Portfolio | 1.05 |
| Benchmark | 1.00 |
Excess Return (annualized)
| 2.87% |
Tracking Error (annualized)
| 5.74% |
Information Ratio
| 0.50 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.05% | 11.84% |
| Sortino Ratio | 1.01 | 0.98 |
| Calmar Ratio | 1.01 | 0.87 |
| Ulcer Index | 15.45 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,163 | $-2,694 |
| VaR (99.9% Confidence) | $-4,201 | $-3,579 |
| 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
| 4.88 |
Skew
| 0.02 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8225 | 0.1664 | 0.6561 |
| Inflation Factor | 0.2548 | 0.0117 | 0.2431 |
| Market Factor | 0.8032 | 0.8043 | -0.0012 |
| Size Factor | 0.0598 | 0.0038 | 0.0559 |
| Style Factor | 0.0356 | -0.0019 | 0.0375 |
| U.S. Tilt (Non U.S.) | 0.0353 | -0.0022 | 0.0375 |
| Yield Curve Factor | 0.2063 | 0.0067 | 0.1996 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |