O.P.T.R.A. Portfolio
Specification
Policy
Rebalancing Interval | Annually |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
Simple 60/40 |
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 2m 6d)
Returns (annualized)
Portfolio | 17.40% |
Benchmark | 13.99% |
Risk (annualized)
Portfolio | 12.94% |
Benchmark | 8.45% |
Sharpe (annualized)
Portfolio | 0.90 |
Benchmark | 0.98 |
Excess Return (annualized)
3.41% |
Tracking Error (annualized)
5.68% |
Information Ratio
0.60 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 13.45% | 8.36% |
Sortino Ratio | 0.87 | 0.99 |
Calmar Ratio | 0.95 | 0.99 |
Ulcer Index | 15.38 | 15.61 |
Max Drawdown | 12.33% | 8.35% |
VaR (99% Confidence) | $-3,005 | $-1,963 |
VaR (99.9% Confidence) | $-3,992 | $-2,607 |
Beta to Benchmark | 1.45 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
0.43 |
Skew
-0.24 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 0.7581 | 0.7581 |
Inflation Factor | 0.1923 | 0.1923 |
Market Factor | 0.8305 | 0.8305 |
Size Factor | 0.0435 | 0.0435 |
Style Factor | 0.0633 | 0.0633 |
U.S. Tilt (Non U.S.) | 0.1457 | 0.1457 |
Yield Curve Factor | 0.1980 | 0.1980 |
Adjusted R2
Portfolio | 0.94 |
Benchmark | 1.00 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |