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 (4m 21d)
Returns
| Portfolio | 15.28% |
| Benchmark | 8.20% |
Risk (annualized)
| Portfolio | 12.23% |
| Benchmark | 8.87% |
Sharpe (annualized)
| Portfolio | 2.72 |
| Benchmark | 1.89 |
Excess Return
| 7.08% |
Tracking Error (annualized)
| 6.12% |
Information Ratio
| 3.51 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 11.50% | 9.67% |
| Sortino Ratio | 2.89 | 1.73 |
| Calmar Ratio | 6.89 | 4.07 |
| Ulcer Index | 15.73 | 15.77 |
| Max Drawdown | 4.82% | 4.11% |
| VaR (99% Confidence) | $-2,830 | $-2,052 |
| VaR (99.9% Confidence) | $-3,759 | $-2,726 |
| 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
| 0.57 |
Skew
| -0.05 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.7982 | 0.1625 | 0.6356 |
| Inflation Factor | -0.0290 | 0.0167 | -0.0457 |
| Market Factor | 0.8740 | 0.8089 | 0.0651 |
| Size Factor | 0.1233 | 0.0016 | 0.1217 |
| Style Factor | -0.0382 | -0.0016 | -0.0366 |
| U.S. Tilt (Non U.S.) | -0.1963 | -0.0041 | -0.1922 |
| Yield Curve Factor | 0.1931 | 0.0085 | 0.1847 |
Adjusted R2
| Portfolio | 0.85 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |