Ray Dalio's All Weather Portfolio

Portfolio Specification

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Simple 60/40

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 (17y 6m 8d)

Returns (annualized)

Portfolio 6.43%
Benchmark 6.49%

Risk (annualized)

Portfolio 8.07%
Benchmark 12.09%

Sharpe (annualized)

Portfolio 0.66
Benchmark 0.48

Excess Return (annualized)

-0.06%

Tracking Error (annualized)

9.56%

Information Ratio

-0.01
Statistic Portfolio Benchmark
Downside Volatility 8.40% 12.72%
Sortino Ratio 0.63 0.45
Calmar Ratio 0.23 0.16
Ulcer Index 15.29 15.13
Max Drawdown 22.75% 36.97%
VaR (99% Confidence) $-1,877 $-2,811
VaR (99.9% Confidence) $-2,493 $-3,734
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

5.39

Skew

-0.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Duration Factor 1.0308 0.2906 0.7402
Inflation Factor 0.1044 0.0742 0.0302
Market Factor 0.3301 0.6051 -0.2750
Size Factor -0.0186 -0.0006 -0.0180
Style Factor 0.0064 -0.0063 0.0128
U.S. Tilt (Non U.S.) 0.0690 -0.0102 0.0793
Yield Curve Factor 0.1739 0.0087 0.1652

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution