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 29d)
Returns (annualized)
| Portfolio | 19.64% |
| Benchmark | 17.71% |
Risk (annualized)
| Portfolio | 13.94% |
| Benchmark | 11.83% |
Sharpe (annualized)
| Portfolio | 1.04 |
| Benchmark | 1.06 |
Excess Return (annualized)
| 1.93% |
Tracking Error (annualized)
| 6.11% |
Information Ratio
| 0.32 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.62% | 11.95% |
| Sortino Ratio | 0.99 | 1.05 |
| Calmar Ratio | 1.03 | 0.95 |
| Ulcer Index | 15.44 | 15.61 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,241 | $-2,750 |
| VaR (99.9% Confidence) | $-4,305 | $-3,653 |
| 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
| 4.18 |
Skew
| -0.11 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8348 | 0.1657 | 0.6691 |
| Inflation Factor | 0.3213 | 0.0102 | 0.3111 |
| Market Factor | 0.8046 | 0.8046 | 0.0000 |
| Size Factor | 0.0640 | 0.0039 | 0.0601 |
| Style Factor | 0.0313 | -0.0018 | 0.0330 |
| U.S. Tilt (Non U.S.) | 0.0103 | -0.0020 | 0.0123 |
| Yield Curve Factor | 0.2022 | 0.0067 | 0.1954 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |