Ray Dalio's All Weather Portfolio

Portfolio Specification

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 2m 25d)

Returns (annualized)

Portfolio 6.18%
Benchmark 6.21%

Risk (annualized)

Portfolio 8.11%
Benchmark 12.17%

Sharpe (annualized)

Portfolio 0.63
Benchmark 0.46

Excess Return (annualized)

-0.03%

Tracking Error (annualized)

9.63%

Information Ratio

0.00
Statistic Portfolio Benchmark
Downside Volatility 8.46% 12.80%
Sortino Ratio 0.60 0.43
Calmar Ratio 0.22 0.15
Ulcer Index 15.28 15.12
Max Drawdown 22.75% 36.97%
VaR (99% Confidence) $-1,885 $-2,830
VaR (99.9% Confidence) $-2,505 $-3,759
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 Coefficients
Factor Portfolio Benchmark
Duration Factor 1.0308 1.0308
Inflation Factor 0.1039 0.1039
Market Factor 0.3302 0.3302
Size Factor -0.0184 -0.0184
Style Factor 0.0064 0.0064
U.S. Tilt (Non U.S.) 0.0690 0.0690
Yield Curve Factor 0.1738 0.1738

Adjusted R2

Portfolio 0.93
Benchmark 0.98

Intercept

Portfolio -0.00
Benchmark 0.00

Factor Attribution