O.P.T.R.A. Portfolio
Portfolio Specification
Assets
Policy
Rebalancing Interval | Annually |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
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 (1y 9m 23d)
Returns (annualized)
Portfolio | 9.80% |
Benchmark | 9.80% |
Risk (annualized)
Portfolio | 14.44% |
Benchmark | 12.51% |
Sharpe (annualized)
Portfolio | 0.38 |
Benchmark | 0.42 |
Excess Return (annualized)
-0.00% |
Tracking Error (annualized)
5.50% |
Information Ratio
0.00 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 15.14% | 12.71% |
Sortino Ratio | 0.36 | 0.41 |
Calmar Ratio | 0.39 | 0.40 |
Ulcer Index | 15.37 | 15.56 |
Max Drawdown | 14.05% | 13.22% |
VaR (99% Confidence) | $-3,355 | $-2,906 |
VaR (99.9% Confidence) | $-4,457 | $-3,860 |
Beta to Benchmark | 1.07 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.27 |
Skew
0.07 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 0.7944 | 0.7944 |
Inflation Factor | 0.2344 | 0.2344 |
Market Factor | 0.7979 | 0.7979 |
Size Factor | 0.0531 | 0.0531 |
Style Factor | 0.0312 | 0.0312 |
U.S. Tilt (Non U.S.) | 0.0725 | 0.0725 |
Yield Curve Factor | 0.2180 | 0.2180 |
Adjusted R2
Portfolio | 0.95 |
Benchmark | 1.00 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |