Ray Dalio's All Weather Portfolio
Specification
Policy
Rebalancing Interval | Quarterly |
---|---|
Weights Algorithm | Constant Weights |
Benchmark
Simple 60/40 |
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.
Assets Report
Policy Report
Backtest Report
From to (16y 3m 24d)
Returns (annualized)
Portfolio | 6.03% |
Benchmark | 5.86% |
Risk (annualized)
Portfolio | 8.03% |
Benchmark | 12.21% |
Sharpe (annualized)
Portfolio | 0.64 |
Benchmark | 0.44 |
Excess Return (annualized)
0.17% |
Tracking Error (annualized)
9.78% |
Risk Free Rate (annualized)
1.04% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
5.15 |
Skew
-0.18 |
Factor Analysis
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 1.0049 | 1.0049 |
Market Factor | 0.3342 | 0.3342 |
Size Factor | -0.0167 | -0.0167 |
Style Factor | 0.0109 | 0.0109 |
U.S. Tilt (Non U.S.) | 0.0675 | 0.0675 |
Yield Curve Factor | 0.1749 | 0.1749 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.98 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |