Ray Dalio's All Weather Portfolio
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Constant Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (18y 3m 30d)
Returns (annualized)
| Portfolio | 6.42% |
| Benchmark | 6.67% |
Risk (annualized)
| Portfolio | 8.04% |
| Benchmark | 12.00% |
Sharpe (annualized)
| Portfolio | 0.64 |
| Benchmark | 0.48 |
Excess Return (annualized)
| -0.25% |
Tracking Error (annualized)
| 9.41% |
Information Ratio
| -0.03 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.38% | 12.63% |
| Sortino Ratio | 0.62 | 0.46 |
| Calmar Ratio | 0.23 | 0.16 |
| Ulcer Index | 15.31 | 15.16 |
| Max Drawdown | 22.75% | 36.97% |
| VaR (99% Confidence) | $-1,869 | $-2,790 |
| VaR (99.9% Confidence) | $-2,483 | $-3,707 |
| Beta to Benchmark | 0.42 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 5.28 |
Skew
| -0.15 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0288 | 0.2917 | 0.7372 |
| Inflation Factor | 0.1082 | 0.0729 | 0.0353 |
| Market Factor | 0.3295 | 0.6055 | -0.2760 |
| Size Factor | -0.0177 | 0.0000 | -0.0177 |
| Style Factor | 0.0057 | -0.0063 | 0.0120 |
| U.S. Tilt (Non U.S.) | 0.0675 | -0.0106 | 0.0781 |
| Yield Curve Factor | 0.1729 | 0.0087 | 0.1642 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 0.98 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |