Ray Dalio's All Weather Portfolio

Specification

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.

Policy Report

Backtest Report

From to (15y 11m )

Returns (annualized)

Portfolio 6.00%
Benchmark 5.79%

Risk (annualized)

Portfolio 8.03%
Benchmark 12.30%

Sharpe (annualized)

Portfolio 0.65
Benchmark 0.44

Excess Return (annualized)

0.21%

Tracking Error (annualized)

9.88%

Risk Free Rate (annualized)

0.94%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.27

Skew

-0.17
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.9055 0.9055
Market Factor 0.3340 0.3340
Size Factor -0.0248 -0.0248
Style Factor 0.0241 0.0241
U.S. Tilt (Non U.S.) 0.0618 0.0618
Yield Curve Factor 0.1947 0.1947

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution