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Static Portfolio
Bridgewater All Weather Portfolio
Bridgewater All Weather Portfolio (Static Portfolio)
live (public) 0.61% May 03
This is based on Pennsylvania Public School Employees' Retirement System's document on using Bridgewater all weather portfolio as part of its cash position.
Bridgewater's all weather portfolio has the following allocations:
Based on the above, we use equal weight for each section and derive the following table:
Growth + | Growth - | Inflation + | Inflation - | Total | ||
Equities | 6.25% | 12.50% | 18.75% | VTSMX | ||
EM Debt Spreads | 6.25% | 8.33% | 14.58% | PEBIX | ||
Commodities | 6.25% | 8.33% | 14.58% | GLD | ||
Corporate Spreads | 6.25% | 6.25% | VWEHX | |||
Nominal Bonds | 12.50% | 12.50% | 25.00% | VBMFX | ||
TIPS | 12.50% | 8.33% | 20.83% | VIPSX | ||
100.00% |
Buy and Hold (Annually Reblance)
Stocks VTSMX 18.75%
EmergingMktDebt PEBIX 14.58%
Commodities GLD 14.58%
CorporateSpread VWEHX 6.25%
NominalBonds VBMFX 25%
InflationProtectedBonds VIPSX 20.84%
Simulated from 7/18/2000
Holdings (As of 05/03/2024)
Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Stocks | VTSMX (VANGUARD TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES) | 1.21% | 31.71% |
EmergingMktDebt | PEBIX (EMERGING MARKETS BOND FUND INSTITUTIONAL) | 0.73% | 11.58% |
Commodities | GLD (SPDR® Gold Shares) | 0.08% | 18.50% |
CorporateSpread | VWEHX (VANGUARD HIGH-YIELD CORPORATE FUND INVESTOR SHARES) | 0.38% | 5.45% |
NominalBonds | VBMFX (VANGUARD TOTAL BOND MARKET INDEX FUND INVESTOR SHARES) | 0.43% | 17.09% |
InflationProtectedBonds | VIPSX (VANGUARD INFLATION-PROTECTED SECURITIES FUND INVESTOR SHARES) | 0.43% | 15.67% |
* Day change on 05/03/2024.
Performance (As of 05/03/2024)
Since 07/18/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
Bridgewater All Weather Portfolio | 3.6% | 11.0% | 2.2% | 5.9% | 4.6% | 6.3% |
VFINX (Vanguard (S&P 500) Index) | 7.9% | 27.1% | 8.5% | 13.5% | 12.5% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.7% | 7.7% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 07/18/2000 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.4 | 3.6 | 11.0 | 2.2 | 5.9 | 4.6 | 6.3 | 6.2 | 6.3 | 13.2 | -13.2 | 6.2 | 13.6 | 15.9 | -3.3 | 7.1 | 8.0 | -2.2 | 4.9 | -1.6 | 9.7 | 7.7 | 12.9 | 19.0 | -8.9 | 10.8 | 10.0 | 6.9 | 8.6 | 17.9 | 5.0 | 5.8 | 0.2 |
Sharpe Ratio | NA | 0.38 | 1.13 | -0.01 | 0.55 | 0.57 | NA | NA | 0.9 | 1.34 | -1.39 | 1.15 | 1.3 | 3.92 | -1.08 | 2.27 | 1.81 | -0.52 | 1.43 | -0.31 | 2.46 | 1.38 | 2.35 | 2.93 | -1.04 | 1.57 | 1.12 | 1.19 | 1.87 | 4.0 | 0.79 | 0.73 | -0.38 |
Draw Down(%) | NA | 2.5 | 6.1 | 18.4 | 18.4 | 18.4 | NA | NA | 20.0 | 6.1 | 18.1 | 3.9 | 14.7 | 1.4 | 6.6 | 1.9 | 4.2 | 5.4 | 3.3 | 7.3 | 2.2 | 4.3 | 2.7 | 5.0 | 20.0 | 2.7 | 6.1 | 3.0 | 5.4 | 4.5 | 5.6 | 3.9 | 3.5 |
Standard Deviation(%) | NA | 6.3 | 6.4 | 7.8 | 7.9 | 6.2 | NA | NA | 5.8 | 6.7 | 10.5 | 5.4 | 10.2 | 3.7 | 4.3 | 2.9 | 4.3 | 4.4 | 3.4 | 5.4 | 3.9 | 5.6 | 5.5 | 6.5 | 9.5 | 4.9 | 6.1 | 4.0 | 4.1 | 4.3 | 4.9 | 4.8 | 4.5 |
Treynor Ratio | NA | 0.06 | 0.18 | 0.0 | 0.15 | 0.16 | NA | NA | 0.56 | 0.26 | -0.39 | 0.19 | 0.54 | 0.86 | -0.88 | 3.91 | -17.6 | -0.79 | 7.49 | -0.41 | 10.81 | 2.41 | 3.57 | 17.06 | -2.18 | -3.88 | 0.54 | 1.96 | 14.11 | -6.52 | -44.28 | 2.16 | -1.11 |
Alpha | NA | 0.0 | 0.0 | -0.01 | 0.0 | 0.01 | NA | NA | 0.02 | 0.01 | -0.03 | -0.01 | 0.03 | 0.04 | -0.02 | 0.02 | 0.03 | -0.01 | 0.02 | -0.01 | 0.04 | 0.03 | 0.05 | 0.07 | -0.03 | 0.03 | 0.02 | 0.02 | 0.03 | 0.07 | 0.02 | 0.02 | -0.01 |
Beta | NA | 0.41 | 0.41 | 0.36 | 0.29 | 0.22 | NA | NA | 0.09 | 0.35 | 0.37 | 0.32 | 0.24 | 0.17 | 0.05 | 0.02 | 0.0 | 0.03 | 0.01 | 0.04 | 0.01 | 0.03 | 0.04 | 0.01 | 0.04 | -0.02 | 0.13 | 0.02 | 0.01 | -0.03 | 0.0 | 0.02 | 0.02 |
RSquared | NA | 0.62 | 0.56 | 0.65 | 0.62 | 0.4 | NA | NA | 0.1 | 0.46 | 0.74 | 0.61 | 0.68 | 0.32 | 0.04 | 0.0 | 0.0 | 0.01 | 0.0 | 0.01 | 0.0 | 0.02 | 0.01 | 0.0 | 0.04 | 0.0 | 0.04 | 0.0 | 0.0 | 0.01 | 0.0 | 0.01 | 0.0 |
Sortino Ratio | NA | 0.53 | 1.69 | -0.01 | 0.75 | 0.79 | NA | NA | 1.27 | 2.04 | -1.87 | 1.6 | 1.67 | 6.69 | -1.39 | 3.56 | 2.8 | -0.71 | 2.05 | -0.4 | 3.98 | 1.98 | 3.43 | 4.99 | -1.35 | 2.2 | 1.63 | 1.82 | 2.76 | 7.18 | 1.15 | 1.08 | -0.56 |
Yield(%) | N/A | 0.61 | 2.92 | 2.85 | 2.61 | 2.34 | N/A | N/A | 3.46 | 2.79 | 3.03 | 2.4 | 1.99 | 2.68 | 1.74 | 0.47 | 3.12 | 2.29 | 2.99 | 2.97 | 3.24 | 3.3 | 3.01 | 3.61 | 4.11 | 4.61 | 4.34 | 4.39 | 4.27 | 5.42 | 3.9 | 5.43 | 2.77 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 07/18/2000
Strategies
Asset Allocation Strategy | Rebalance for Static Portfolios |