Ray Dalio's All Weather Portfolio
Portfolio Specification
Assets
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
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 16d)
Returns (annualized)
Portfolio | 6.49% |
Benchmark | 6.48% |
Risk (annualized)
Portfolio | 8.07% |
Benchmark | 12.09% |
Sharpe (annualized)
Portfolio | 0.66 |
Benchmark | 0.48 |
Excess Return (annualized)
0.00% |
Tracking Error (annualized)
9.56% |
Information Ratio
0.00 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 8.40% | 12.72% |
Sortino Ratio | 0.64 | 0.45 |
Calmar Ratio | 0.24 | 0.16 |
Ulcer Index | 15.29 | 15.14 |
Max Drawdown | 22.75% | 36.97% |
VaR (99% Confidence) | $-1,876 | $-2,811 |
VaR (99.9% Confidence) | $-2,492 | $-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 | Portfolio | Benchmark | Excess |
---|---|---|---|
Duration Factor | 1.0309 | 0.2906 | 0.7403 |
Inflation Factor | 0.1045 | 0.0742 | 0.0304 |
Market Factor | 0.3301 | 0.6051 | -0.2750 |
Size Factor | -0.0183 | -0.0006 | -0.0178 |
Style Factor | 0.0063 | -0.0063 | 0.0126 |
U.S. Tilt (Non U.S.) | 0.0689 | -0.0103 | 0.0791 |
Yield Curve Factor | 0.1738 | 0.0087 | 0.1652 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.98 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |