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 1d)
Returns (annualized)
Portfolio | 6.21% |
Benchmark | 6.31% |
Risk (annualized)
Portfolio | 8.09% |
Benchmark | 12.12% |
Sharpe (annualized)
Portfolio | 0.63 |
Benchmark | 0.46 |
Excess Return (annualized)
-0.09% |
Tracking Error (annualized)
9.58% |
Information Ratio
-0.01 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 8.42% | 12.74% |
Sortino Ratio | 0.61 | 0.44 |
Calmar Ratio | 0.22 | 0.15 |
Ulcer Index | 15.29 | 15.13 |
Max Drawdown | 22.75% | 36.97% |
VaR (99% Confidence) | $-1,880 | $-2,818 |
VaR (99.9% Confidence) | $-2,498 | $-3,744 |
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
5.38 |
Skew
-0.13 |
Data Table
Factor | Portfolio | Benchmark | Excess |
---|---|---|---|
Duration Factor | 1.0308 | 0.2905 | 0.7403 |
Inflation Factor | 0.1043 | 0.0743 | 0.0300 |
Market Factor | 0.3301 | 0.6050 | -0.2750 |
Size Factor | -0.0184 | -0.0006 | -0.0177 |
Style Factor | 0.0066 | -0.0063 | 0.0129 |
U.S. Tilt (Non U.S.) | 0.0691 | -0.0102 | 0.0794 |
Yield Curve Factor | 0.1738 | 0.0086 | 0.1652 |
Adjusted R2
Portfolio | 0.93 |
Benchmark | 0.98 |
Intercept
Portfolio | -0.00 |
Benchmark | 0.00 |