O.P.T.R.A. Portfolio

Specification

Policy

Rebalancing Interval	Annually
Weights Algorithm	Constant Weights

Assets

ProShares UltraPro S&P 500 ETF 3x Shares (UPRO)	16.00%
AVANTIS ALL EQUITY MARKETS VALUE ETF (AVGV)	24.00%
ISHARES 25+ YEAR TREASURY STRIPS BOND ETF (GOVZ)	24.00%
SPDR Gold MiniShares Trust (GLDM)	18.00%
IMGP DBI MANAGED FUTURES STRATEGY ETF (DBMF)	18.00%

Benchmark

80% Global Equity, 20% Bonds

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 2023-06-30 to 2025-04-01 (1y 9m 2d)

Returns (annualized)

Portfolio	13.15%
Benchmark	12.43%

Risk (annualized)

Portfolio	12.90%
Benchmark	10.20%

Sharpe (annualized)

Portfolio	0.64
Benchmark	0.72

Excess Return (annualized)

0.72%

Tracking Error (annualized)

5.22%

Information Ratio

0.14

Statistic	Portfolio	Benchmark
Downside Volatility	13.64%	10.51%
Sortino Ratio	0.61	0.70
Calmar Ratio	0.67	0.76
Ulcer Index	15.40	15.59
Max Drawdown	12.33%	9.61%
VaR (99% Confidence)	$-2,998	$-2,370
VaR (99.9% Confidence)	$-3,982	$-3,149
Beta to Benchmark	1.17	N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.96

Skew

-0.40

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Duration Factor	0.8145	0.8145
Inflation Factor	0.2790	0.2790
Market Factor	0.8135	0.8135
Size Factor	0.0367	0.0367
Style Factor	0.0464	0.0464
U.S. Tilt (Non U.S.)	0.0928	0.0928
Yield Curve Factor	0.2054	0.2054

Adjusted R²

Portfolio	0.93
Benchmark	1.00

Intercept

Portfolio	-0.00
Benchmark	0.00