Ray Dalio's All Weather Portfolio
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
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 | 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 |