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 2m 26d)
Returns (annualized)
| Portfolio | 16.86% |
| Benchmark | 16.59% |
Risk (annualized)
| Portfolio | 13.67% |
| Benchmark | 11.85% |
Sharpe (annualized)
| Portfolio | 0.86 |
| Benchmark | 0.96 |
Excess Return (annualized)
| 0.28% |
Tracking Error (annualized)
| 5.60% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 14.16% | 11.91% |
| Sortino Ratio | 0.83 | 0.95 |
| Calmar Ratio | 0.84 | 0.86 |
| Ulcer Index | 15.41 | 15.59 |
| Max Drawdown | 14.05% | 13.22% |
| VaR (99% Confidence) | $-3,178 | $-2,754 |
| VaR (99.9% Confidence) | $-4,221 | $-3,659 |
| Beta to Benchmark | 1.05 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.46 |
Skew
| 0.03 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.8432 | 0.1669 | 0.6763 |
| Inflation Factor | 0.2795 | 0.0114 | 0.2681 |
| Market Factor | 0.7910 | 0.8039 | -0.0128 |
| Size Factor | 0.0464 | 0.0040 | 0.0424 |
| Style Factor | 0.0345 | -0.0020 | 0.0365 |
| U.S. Tilt (Non U.S.) | 0.0505 | -0.0019 | 0.0524 |
| Yield Curve Factor | 0.2117 | 0.0066 | 0.2051 |
Adjusted R2
| Portfolio | 0.94 |
| Benchmark | 1.00 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |