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 11m 2d)
Returns (annualized)
| Portfolio | 6.58% |
| Benchmark | 6.54% |
Risk (annualized)
| Portfolio | 8.04% |
| Benchmark | 12.01% |
Sharpe (annualized)
| Portfolio | 0.67 |
| Benchmark | 0.48 |
Excess Return (annualized)
| 0.05% |
Tracking Error (annualized)
| 9.48% |
Information Ratio
| 0.00 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.38% | 12.65% |
| Sortino Ratio | 0.64 | 0.45 |
| Calmar Ratio | 0.24 | 0.16 |
| Ulcer Index | 15.30 | 15.15 |
| Max Drawdown | 22.75% | 36.97% |
| VaR (99% Confidence) | $-1,870 | $-2,793 |
| VaR (99.9% Confidence) | $-2,484 | $-3,710 |
| 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
| -0.14 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 1.0303 | 0.2909 | 0.7394 |
| Inflation Factor | 0.1050 | 0.0740 | 0.0310 |
| Market Factor | 0.3300 | 0.6051 | -0.2751 |
| Size Factor | -0.0165 | -0.0005 | -0.0161 |
| Style Factor | 0.0061 | -0.0063 | 0.0124 |
| U.S. Tilt (Non U.S.) | 0.0674 | -0.0101 | 0.0775 |
| Yield Curve Factor | 0.1739 | 0.0087 | 0.1651 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 0.98 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |