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 to (1y 8m 19d)

Returns (annualized)

Portfolio 12.88%
Benchmark 13.09%

Risk (annualized)

Portfolio 12.95%
Benchmark 10.17%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.78

Excess Return (annualized)

-0.21%

Tracking Error (annualized)

5.19%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 13.69% 10.44%
Sortino Ratio 0.59 0.76
Calmar Ratio 0.65 0.82
Ulcer Index 15.41 15.60
Max Drawdown 12.33% 9.61%
VaR (99% Confidence) $-3,007 $-2,364
VaR (99.9% Confidence) $-3,995 $-3,140
Beta to Benchmark 1.18 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.97

Skew

-0.40
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.8039 0.8039
Inflation Factor 0.2676 0.2676
Market Factor 0.8154 0.8154
Size Factor 0.0411 0.0411
Style Factor 0.0440 0.0440
U.S. Tilt (Non U.S.) 0.0931 0.0931
Yield Curve Factor 0.2062 0.2062

Adjusted R2

Portfolio 0.93
Benchmark 1.00

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution