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 9m 15d)

Returns (annualized)

Portfolio 6.06%
Benchmark 5.97%

Risk (annualized)

Portfolio 8.02%
Benchmark 12.12%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.45

Excess Return (annualized)

0.09%

Tracking Error (annualized)

9.69%

Information Ratio

0.01
Statistic Portfolio Benchmark
Downside Volatility 8.37% 12.76%
Sortino Ratio 0.61 0.42
Calmar Ratio 0.22 0.15
Ulcer Index 15.28 15.11
Max Drawdown 22.75% 36.97%
VaR (99% Confidence) $-1,866 $-2,818
VaR (99.9% Confidence) $-2,479 $-3,744
Beta to Benchmark 0.40 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.04

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 1.0042 1.0042
Market Factor 0.3343 0.3343
Size Factor -0.0168 -0.0168
Style Factor 0.0093 0.0093
U.S. Tilt (Non U.S.) 0.0666 0.0666
Yield Curve Factor 0.1749 0.1749

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution