Ray Dalio's All Weather Portfolio
Portfolio Specification
Assets
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
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 3m 17d)
Returns (annualized)
Portfolio | 6.15% |
Benchmark | 6.24% |
Risk (annualized)
Portfolio | 8.10% |
Benchmark | 12.15% |
Sharpe (annualized)
Portfolio | 0.63 |
Benchmark | 0.46 |
Excess Return (annualized)
-0.09% |
Tracking Error (annualized)
9.61% |
Information Ratio
-0.01 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 8.45% | 12.79% |
Sortino Ratio | 0.60 | 0.44 |
Calmar Ratio | 0.22 | 0.15 |
Ulcer Index | 15.28 | 15.13 |
Max Drawdown | 22.75% | 36.97% |
VaR (99% Confidence) | $-1,884 | $-2,826 |
VaR (99.9% Confidence) | $-2,503 | $-3,753 |
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 | Portfolio | Benchmark |
---|---|---|
Duration Factor | 1.0308 | 1.0308 |
Inflation Factor | 0.1040 | 0.1040 |
Market Factor | 0.3301 | 0.3301 |
Size Factor | -0.0183 | -0.0183 |
Style Factor | 0.0065 | 0.0065 |
U.S. Tilt (Non U.S.) | 0.0691 | 0.0691 |
Yield Curve Factor | 0.1738 | 0.1738 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.98 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |