All Weather CAD
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.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | Precious Metals, Gold | 7.50% |
COW.TO iShares Global Agriculture Index ETF | Large Cap Blend Equities | 3.75% |
VFV.TO Vanguard S&P 500 Index ETF | Large Cap Growth Equities | 30% |
XBB.TO iShares Core Canadian Universe Bond Index ETF | Canadian Government Bonds | 55% |
XEG.TO iShares S&P/TSX Capped Energy Index ETF | Energy Equities | 3.75% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All Weather CAD, 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 Nov 8, 2012, corresponding to the inception date of VFV.TO
Returns By Period
As of Dec 24, 2024, the All Weather CAD returned 6.15% Year-To-Date and 4.82% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.25% | 0.08% | 9.66% | 25.65% | 13.17% | 11.11% |
| All Weather CAD | 6.15% | -1.78% | 2.04% | 6.99% | 5.72% | 4.82% |
| Portfolio components: | ||||||
XBB.TO iShares Core Canadian Universe Bond Index ETF | -4.57% | -1.19% | -1.99% | -3.62% | -1.27% | -0.27% |
VFV.TO Vanguard S&P 500 Index ETF | 26.49% | 0.18% | 10.17% | 27.18% | 14.67% | 12.81% |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 15.29% | -6.33% | 5.54% | 16.50% | 8.56% | 4.85% |
COW.TO iShares Global Agriculture Index ETF | -2.20% | -5.87% | 1.94% | -2.16% | 5.77% | 5.59% |
XEG.TO iShares S&P/TSX Capped Energy Index ETF | 2.01% | -12.30% | -11.45% | 1.92% | 14.26% | 2.31% |
Monthly Returns
The table below presents the monthly returns of All Weather CAD, 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 | -1.54% | 1.14% | 2.78% | -3.40% | 3.43% | 1.21% | 1.53% | 2.56% | 1.68% | -2.40% | 2.59% | 6.15% | |
| 2023 | 5.47% | -4.09% | 3.25% | 0.79% | -1.59% | 3.94% | 1.30% | -2.06% | -3.52% | -1.78% | 7.03% | 5.08% | 13.86% |
| 2022 | -3.35% | 0.09% | 1.51% | -6.53% | 1.54% | -6.15% | 5.46% | -4.49% | -7.47% | 4.20% | 5.02% | -3.70% | -14.08% |
| 2021 | -1.33% | 0.28% | 2.17% | 3.37% | 2.84% | -0.96% | 0.57% | 0.06% | -2.28% | 3.95% | -2.14% | 3.42% | 10.13% |
| 2020 | -0.17% | -3.65% | -10.41% | 9.40% | 3.03% | 2.64% | 4.25% | 3.76% | -3.35% | -1.33% | 6.97% | 3.92% | 14.32% |
| 2019 | 6.98% | 1.21% | 0.74% | 1.25% | -2.31% | 5.57% | 0.05% | 0.25% | 0.50% | 0.72% | 0.96% | 2.57% | 19.74% |
| 2018 | 2.72% | -4.20% | -0.66% | 0.33% | 0.49% | -0.54% | 1.02% | 0.99% | 0.18% | -4.30% | 0.11% | -3.90% | -7.76% |
| 2017 | 2.59% | 0.60% | 0.09% | -0.38% | 1.35% | 1.78% | 2.62% | 1.00% | 0.26% | -0.50% | 1.47% | 2.05% | 13.66% |
| 2016 | -1.83% | 3.23% | 5.56% | 3.38% | -2.11% | 2.56% | 1.34% | -0.34% | -0.03% | -2.56% | -0.43% | 0.40% | 9.22% |
| 2015 | -3.96% | 2.68% | -2.05% | 3.14% | -1.59% | -1.69% | -2.53% | -2.73% | -2.43% | 4.25% | -1.75% | -2.51% | -10.96% |
| 2014 | -2.83% | 2.79% | 0.36% | 1.30% | 1.92% | 2.66% | -2.11% | 2.16% | -3.48% | -0.05% | 0.52% | -1.02% | 1.98% |
| 2013 | 1.33% | -1.53% | 2.21% | 1.23% | -2.33% | -3.50% | 4.06% | -2.50% | 2.62% | 1.38% | -0.77% | 0.43% | 2.35% |
Expense Ratio
All Weather CAD has an expense ratio of 0.17%, 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 CAD is 15, meaning it’s performing worse than 85% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
XBB.TO iShares Core Canadian Universe Bond Index ETF | -0.50 | -0.62 | 0.93 | -0.22 | -1.01 |
VFV.TO Vanguard S&P 500 Index ETF | 2.23 | 3.02 | 1.42 | 3.32 | 14.94 |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 0.93 | 1.32 | 1.17 | 0.64 | 4.43 |
COW.TO iShares Global Agriculture Index ETF | -0.08 | -0.00 | 1.00 | -0.03 | -0.22 |
XEG.TO iShares S&P/TSX Capped Energy Index ETF | 0.09 | 0.28 | 1.04 | 0.08 | 0.28 |
Dividends
Dividend yield
All Weather CAD provided a 2.23% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.23% | 2.24% | 2.19% | 1.80% | 1.95% | 2.15% | 2.23% | 2.08% | 2.14% | 2.27% | 2.25% | 2.39% |
| Portfolio components: | ||||||||||||
XBB.TO iShares Core Canadian Universe Bond Index ETF | 3.24% | 3.01% | 2.91% | 2.54% | 2.55% | 2.80% | 2.92% | 2.83% | 2.81% | 2.87% | 3.04% | 3.32% |
VFV.TO Vanguard S&P 500 Index ETF | 0.96% | 1.20% | 1.31% | 1.06% | 1.33% | 1.55% | 1.68% | 1.50% | 1.66% | 1.63% | 1.48% | 1.42% |
CGL.TO iShares Gold Bullion ETF (CAD-Hedged) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
COW.TO iShares Global Agriculture Index ETF | 1.24% | 1.62% | 2.03% | 0.69% | 1.02% | 1.02% | 1.07% | 0.58% | 1.10% | 1.78% | 0.97% | 1.45% |
XEG.TO iShares S&P/TSX Capped Energy Index ETF | 3.15% | 4.26% | 3.31% | 1.64% | 2.96% | 2.70% | 2.25% | 1.41% | 1.40% | 3.58% | 2.56% | 2.32% |
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 CAD. 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 CAD was 24.60%, occurring on Mar 18, 2020. Recovery took 56 trading sessions.
The current All Weather CAD drawdown is 3.59%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.6% | Feb 20, 2020 | 20 | Mar 18, 2020 | 56 | Jun 8, 2020 | 76 |
| -20.02% | Jul 24, 2014 | 373 | Jan 19, 2016 | 374 | Jul 14, 2017 | 747 |
| -19.34% | Jan 4, 2022 | 197 | Oct 14, 2022 | 365 | Mar 28, 2024 | 562 |
| -12.81% | Jan 29, 2018 | 229 | Dec 24, 2018 | 122 | Jun 20, 2019 | 351 |
| -7.11% | May 9, 2013 | 32 | Jun 24, 2013 | 199 | Apr 9, 2014 | 231 |
Volatility
Volatility Chart
The current All Weather CAD volatility is 2.81%, 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
| CGL.TO | XBB.TO | VFV.TO | XEG.TO | COW.TO | |
|---|---|---|---|---|---|
| CGL.TO | 1.00 | 0.64 | 0.16 | 0.32 | 0.22 |
| XBB.TO | 0.64 | 1.00 | 0.29 | 0.35 | 0.30 |
| VFV.TO | 0.16 | 0.29 | 1.00 | 0.47 | 0.66 |
| XEG.TO | 0.32 | 0.35 | 0.47 | 1.00 | 0.57 |
| COW.TO | 0.22 | 0.30 | 0.66 | 0.57 | 1.00 |