All Weather Portfolio inflation protected
The All-Weather portfolio is an investment strategy developed by Ray Dalio, the founder of Bridgewater Associates, a prominent hedge fund. It is designed to be a globally diversified portfolio that can perform well in various market conditions, hence the name "All Weather." The portfolio is intended to be relatively simple and easy to implement, with a mix of stocks, bonds, commodities, and currencies.
The core of the All Weather portfolio is a combination of 30% stocks, 40% long-term bonds, 15% intermediate-term bonds, and 15% commodities. The specific investments within each category can vary, but the overall allocation is meant to be relatively stable over time, which could be achieved through regular rebalancing.
One of the fundamental principles behind the All Weather portfolio is the idea of "risk parity," which seeks to balance risk across different asset classes rather than maximizing returns from any particular asset. The goal is to create a portfolio that can weather market volatility and produce consistent returns over the long term.
Replaced half of the standard bonds with TIPS
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All Weather Portfolio inflation protected, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC
Returns By Period
As of Oct 17, 2024, the All Weather Portfolio inflation protected returned 9.96% Year-To-Date and 5.85% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 22.49% | 3.72% | 16.33% | 33.60% | 14.41% | 11.99% |
All Weather Portfolio inflation protected | 9.96% | 0.03% | 9.69% | 20.07% | 6.30% | 5.81% |
Portfolio components: | ||||||
Vanguard Total Stock Market ETF | 22.57% | 3.83% | 17.22% | 37.03% | 15.53% | 13.36% |
Invesco DB Commodity Index Tracking Fund | 1.72% | 2.05% | -3.90% | -6.14% | 9.56% | 0.97% |
SPDR Gold Trust | 29.28% | 4.13% | 12.17% | 36.65% | 12.01% | 7.53% |
iShares 7-10 Year Treasury Bond ETF | 2.56% | -2.37% | 7.04% | 11.53% | -1.06% | 0.99% |
iShares 20+ Year Treasury Bond ETF | -0.72% | -5.18% | 9.44% | 17.32% | -5.07% | 0.05% |
iShares TIPS Bond ETF | 4.05% | -1.04% | 5.83% | 9.74% | 2.26% | 2.12% |
Monthly Returns
The table below presents the monthly returns of All Weather Portfolio inflation protected, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | -0.03% | 0.62% | 2.38% | -2.97% | 2.70% | 1.56% | 2.20% | 1.41% | 1.98% | 9.96% | |||
2023 | 4.98% | -3.11% | 3.46% | 0.49% | -1.49% | 1.95% | 1.36% | -1.60% | -3.99% | -1.85% | 5.90% | 4.22% | 10.18% |
2022 | -2.86% | 0.15% | -0.08% | -5.33% | -0.57% | -4.24% | 4.32% | -3.44% | -7.36% | 1.69% | 4.51% | -2.82% | -15.56% |
2021 | -0.86% | -0.49% | -0.29% | 3.33% | 1.32% | 1.59% | 2.42% | 0.57% | -2.15% | 3.27% | -0.31% | 1.51% | 10.19% |
2020 | 2.09% | -0.94% | -3.58% | 5.26% | 2.33% | 1.54% | 4.48% | 1.63% | -1.68% | -1.84% | 4.58% | 2.42% | 17.06% |
2019 | 3.82% | 0.94% | 2.08% | 0.83% | -0.26% | 3.45% | 0.48% | 2.79% | -0.63% | 0.76% | 0.83% | 0.94% | 17.13% |
2018 | 0.95% | -2.48% | 0.53% | -0.25% | 1.52% | 0.11% | 0.17% | 1.48% | -0.65% | -3.48% | 0.50% | -0.91% | -2.63% |
2017 | 1.32% | 1.83% | -0.37% | 0.78% | 0.65% | -0.04% | 1.07% | 1.46% | -0.16% | 0.93% | 1.16% | 1.34% | 10.43% |
2016 | 0.22% | 1.96% | 2.56% | 1.20% | 0.10% | 3.34% | 1.44% | -0.52% | 0.31% | -2.06% | -1.67% | 0.74% | 7.73% |
2015 | 2.62% | -0.44% | -0.77% | 0.12% | -0.58% | -1.71% | 0.24% | -1.99% | -0.74% | 2.53% | -1.04% | -1.44% | -3.26% |
2014 | 1.16% | 2.50% | -0.13% | 0.96% | 1.57% | 1.41% | -1.14% | 2.49% | -2.78% | 1.25% | 0.89% | -0.12% | 8.25% |
2013 | 0.92% | 0.06% | 1.37% | 0.92% | -2.55% | -3.17% | 2.26% | -1.15% | 1.25% | 1.70% | -0.53% | -0.30% | 0.62% |
Expense Ratio
All Weather Portfolio inflation protected has an expense ratio of 0.20%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of All Weather Portfolio inflation protected is 52, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
Vanguard Total Stock Market ETF | 2.75 | 3.66 | 1.50 | 2.50 | 16.71 |
Invesco DB Commodity Index Tracking Fund | -0.35 | -0.39 | 0.96 | -0.10 | -0.77 |
SPDR Gold Trust | 2.76 | 3.71 | 1.48 | 4.83 | 17.63 |
iShares 7-10 Year Treasury Bond ETF | 1.33 | 1.95 | 1.23 | 0.41 | 4.59 |
iShares 20+ Year Treasury Bond ETF | 0.97 | 1.46 | 1.17 | 0.31 | 2.69 |
iShares TIPS Bond ETF | 1.75 | 2.62 | 1.32 | 0.63 | 9.73 |
Dividends
Dividend yield
All Weather Portfolio inflation protected granted a 2.53% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
All Weather Portfolio inflation protected | 2.53% | 2.45% | 3.01% | 1.82% | 1.13% | 1.75% | 2.14% | 1.70% | 1.65% | 1.39% | 1.68% | 1.64% |
Portfolio components: | ||||||||||||
Vanguard Total Stock Market ETF | 1.30% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
Invesco DB Commodity Index Tracking Fund | 4.86% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
iShares 7-10 Year Treasury Bond ETF | 3.36% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% |
iShares 20+ Year Treasury Bond ETF | 3.83% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
iShares TIPS Bond ETF | 2.70% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% | 1.15% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the All Weather Portfolio inflation protected. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the All Weather Portfolio inflation protected was 19.68%, occurring on Nov 20, 2008. Recovery took 255 trading sessions.
The current All Weather Portfolio inflation protected drawdown is 0.48%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-19.68% | May 21, 2008 | 129 | Nov 20, 2008 | 255 | Nov 25, 2009 | 384 |
-19.58% | Nov 10, 2021 | 238 | Oct 20, 2022 | 460 | Aug 21, 2024 | 698 |
-13.95% | Mar 9, 2020 | 8 | Mar 18, 2020 | 44 | May 20, 2020 | 52 |
-7.86% | Feb 3, 2015 | 242 | Jan 19, 2016 | 79 | May 11, 2016 | 321 |
-6.91% | May 3, 2013 | 36 | Jun 24, 2013 | 168 | Feb 24, 2014 | 204 |
Volatility
Volatility Chart
The current All Weather Portfolio inflation protected volatility is 1.39%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
VTI | DBC | GLD | TIP | TLT | IEF | |
---|---|---|---|---|---|---|
VTI | 1.00 | 0.34 | 0.07 | -0.12 | -0.29 | -0.29 |
DBC | 0.34 | 1.00 | 0.35 | 0.05 | -0.19 | -0.17 |
GLD | 0.07 | 0.35 | 1.00 | 0.30 | 0.19 | 0.23 |
TIP | -0.12 | 0.05 | 0.30 | 1.00 | 0.73 | 0.78 |
TLT | -0.29 | -0.19 | 0.19 | 0.73 | 1.00 | 0.92 |
IEF | -0.29 | -0.17 | 0.23 | 0.78 | 0.92 | 1.00 |