Ray Dalio's All Weather Portfolio

Portfolio Specification

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 (17y 23d)

Returns (annualized)

Portfolio 5.99%
Benchmark 5.84%

Risk (annualized)

Portfolio 8.12%
Benchmark 12.20%

Sharpe (annualized)

Portfolio 0.61
Benchmark 0.43

Excess Return (annualized)

0.15%

Tracking Error (annualized)

9.66%

Information Ratio

0.02
Statistic Portfolio Benchmark
Downside Volatility 8.47% 12.83%
Sortino Ratio 0.59 0.41
Calmar Ratio 0.22 0.14
Ulcer Index 15.28 15.12
Max Drawdown 22.75% 36.97%
VaR (99% Confidence) $-1,889 $-2,838
VaR (99.9% Confidence) $-2,510 $-3,770
Beta to Benchmark 0.41 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.37

Skew

-0.13
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.0048 1.0048
Market Factor 0.3358 0.3358
Size Factor -0.0168 -0.0168
Style Factor 0.0078 0.0078
U.S. Tilt (Non U.S.) 0.0681 0.0681
Yield Curve Factor 0.1769 0.1769

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution