Ray Dalio's All Weather Portfolio

Specification

Benchmark
Simple 60/40

Description

Based on an interpretation of Ray Dalio’s All Weather Portfolio by Oddmund Grotto at quantifiedstrategies.com

The construction has a notable U.S. bias in the equity and bond exposures which may impact relative returns within market cycles.

For a more risk-balanced exposure, consider an “equal-risk-weighting” approach rather than a static weight approach as used below.

Policy Report

Backtest Report

From to (16y 2m 16d)

Returns (annualized)

Portfolio 6.12%
Benchmark 5.91%

Risk (annualized)

Portfolio 8.02%
Benchmark 12.23%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.45

Excess Return (annualized)

0.21%

Tracking Error (annualized)

9.80%

Risk Free Rate (annualized)

1.02%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.20

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.0046 1.0046
Market Factor 0.3341 0.3341
Size Factor -0.0169 -0.0169
Style Factor 0.0110 0.0110
U.S. Tilt (Non U.S.) 0.0676 0.0676
Yield Curve Factor 0.1749 0.1749

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution