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 5m 11d)
Returns (annualized)
| Portfolio | 6.38% |
| Benchmark | 6.44% |
Risk (annualized)
| Portfolio | 8.08% |
| Benchmark | 12.11% |
Sharpe (annualized)
| Portfolio | 0.65 |
| Benchmark | 0.47 |
Excess Return (annualized)
| -0.06% |
Tracking Error (annualized)
| 9.58% |
Information Ratio
| -0.01 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 8.42% | 12.74% |
| Sortino Ratio | 0.63 | 0.45 |
| Calmar Ratio | 0.23 | 0.15 |
| Ulcer Index | 15.29 | 15.13 |
| Max Drawdown | 22.75% | 36.97% |
| VaR (99% Confidence) | $-1,880 | $-2,816 |
| VaR (99.9% Confidence) | $-2,497 | $-3,741 |
| 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 | 1.0308 | 0.2906 | 0.7402 |
| Inflation Factor | 0.1043 | 0.0742 | 0.0301 |
| Market Factor | 0.3300 | 0.6051 | -0.2750 |
| Size Factor | -0.0185 | -0.0006 | -0.0179 |
| Style Factor | 0.0065 | -0.0063 | 0.0129 |
| U.S. Tilt (Non U.S.) | 0.0691 | -0.0102 | 0.0793 |
| Yield Curve Factor | 0.1738 | 0.0087 | 0.1651 |
Adjusted R2
| Portfolio | 0.93 |
| Benchmark | 0.98 |
Intercept
| Portfolio | -0.00 |
| Benchmark | 0.00 |