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Static Portfolio
Bridgewater All Weather Portfolio Risk Parity
Bridgewater All Weather Portfolio Risk Parity (Static Portfolio)
live (public) 0.53% May 03
The allocations are derived from the following target risk allocations:
| Growth + | Growth - | Inflation + | Inflation - | Total Risk Allocations | Fund | |
| 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% | |
| Tgt Risk Allocation | Fund | Std Dev (Risk) | Actual Allocation % | |
| Equities | 18.75% | VTSMX | 0.21 | 6.23% |
| EM Debt Spreads | 14.58% | PEBIX | 0.07 | 14.80% |
| Commodities | 14.58% | GLD | 0.21 | 4.84% |
| Corporate Spreads | 6.25% | VWEHX | 0.05 | 9.06% |
| Nominal Bonds | 25.00% | VBMFX | 0.04 | 42.30% |
| TIPS | 20.83% | VIPSX | 0.07 | 22.77% |
| Total Risk | 14.07 | 100.00% |
See Bridgewater All Weather Portfolio for more information.
Buy and Hold (Quarterly Rebalance)
Equities VTSMX 6.2%
EMDebt PEBIX 14.8%
Commodiites GLD 4.84%
CorporateDebt VWEHX 9.06%
NominalBonds VBMFX 42.3%
TIPS VIPSX 22.8%
Simulated from 7/18/2000
Holdings (As of 05/03/2024)
| Asset | Fund in this portfolio | Price change* | Percentage |
|---|---|---|---|
| Equities | VTSMX (VANGUARD TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES) | 1.21% | 13.33% |
| EMDebt | PEBIX (EMERGING MARKETS BOND FUND INSTITUTIONAL) | 0.73% | 13.72% |
| Commodiites | GLD (SPDR® Gold Shares) | 0.08% | 7.13% |
| CorporateDebt | VWEHX (VANGUARD HIGH-YIELD CORPORATE FUND INVESTOR SHARES) | 0.38% | 9.56% |
| NominalBonds | VBMFX (VANGUARD TOTAL BOND MARKET INDEX FUND INVESTOR SHARES) | 0.43% | 35.32% |
| TIPS | VIPSX (VANGUARD INFLATION-PROTECTED SECURITIES FUND INVESTOR SHARES) | 0.43% | 20.94% |
* Day change on 05/03/2024.
Previous
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 Risk Parity | 0.8% | 5.4% | -0.4% | 2.9% | 2.7% | 4.3% |
| 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(%) | 0.7 | 0.8 | 5.4 | -0.4 | 2.9 | 2.7 | 4.3 | 4.5 | 5.1 | 9.1 | -13.1 | 2.7 | 9.8 | 12.2 | -2.8 | 3.9 | 6.7 | -1.3 | 4.8 | -3.3 | 8.3 | 8.3 | 9.5 | 15.6 | -4.8 | 8.4 | 6.2 | 4.8 | 7.5 | 12.5 | 7.7 | 8.5 | 3.4 |
| Sharpe Ratio | NA | -0.08 | 0.28 | -0.44 | 0.22 | 0.35 | NA | NA | 0.94 | 0.79 | -1.85 | 0.76 | 1.53 | 3.83 | -1.62 | 1.3 | 1.91 | -0.39 | 1.84 | -0.84 | 3.47 | 2.28 | 2.65 | 3.42 | -0.86 | 1.6 | 0.81 | 0.82 | 1.59 | 3.0 | 1.91 | 1.52 | 0.49 |
| Draw Down(%) | NA | 2.2 | 5.2 | 17.8 | 17.8 | 17.8 | NA | NA | 17.8 | 5.2 | 17.3 | 3.1 | 11.2 | 1.6 | 4.1 | 1.6 | 3.8 | 4.2 | 2.4 | 6.9 | 1.0 | 2.4 | 3.3 | 3.8 | 15.0 | 2.5 | 2.5 | 2.7 | 5.6 | 5.0 | 3.6 | 2.1 | 1.8 |
| Standard Deviation(%) | NA | 5.1 | 5.7 | 6.2 | 5.8 | 4.6 | NA | NA | 4.2 | 6.1 | 7.8 | 3.5 | 6.3 | 2.8 | 2.5 | 2.5 | 3.4 | 3.4 | 2.6 | 3.9 | 2.4 | 3.6 | 3.6 | 4.5 | 6.6 | 3.4 | 3.6 | 3.3 | 4.1 | 3.9 | 3.5 | 4.0 | 3.0 |
| Treynor Ratio | NA | -0.02 | 0.06 | -0.14 | 0.09 | 0.15 | NA | NA | 0.67 | 0.25 | -0.68 | 0.2 | 0.97 | 3.28 | -1.32 | 1.15 | -15.71 | -0.4 | 12.35 | -0.48 | 3.82 | 1.94 | 1.84 | 5.73 | -0.98 | 6.0 | 0.41 | 0.79 | 378.96 | -11.47 | 72.61 | 5.23 | 0.71 |
| Alpha | NA | -0.02 | -0.01 | -0.01 | 0.0 | 0.0 | NA | NA | 0.01 | 0.0 | -0.04 | 0.0 | 0.03 | 0.04 | -0.02 | 0.01 | 0.03 | -0.01 | 0.02 | -0.02 | 0.03 | 0.03 | 0.03 | 0.05 | -0.01 | 0.02 | 0.01 | 0.01 | 0.03 | 0.05 | 0.03 | 0.02 | 0.02 |
| Beta | NA | 0.24 | 0.26 | 0.2 | 0.14 | 0.11 | NA | NA | 0.06 | 0.19 | 0.21 | 0.13 | 0.1 | 0.03 | 0.03 | 0.03 | 0.0 | 0.03 | 0.0 | 0.07 | 0.02 | 0.04 | 0.05 | 0.03 | 0.06 | 0.01 | 0.07 | 0.03 | 0.0 | -0.01 | 0.0 | 0.01 | 0.02 |
| RSquared | NA | 0.3 | 0.28 | 0.32 | 0.26 | 0.17 | NA | NA | 0.07 | 0.17 | 0.43 | 0.25 | 0.3 | 0.02 | 0.04 | 0.01 | 0.0 | 0.02 | 0.0 | 0.04 | 0.01 | 0.08 | 0.07 | 0.03 | 0.13 | 0.0 | 0.04 | 0.01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.02 |
| Sortino Ratio | NA | -0.1 | 0.41 | -0.61 | 0.3 | 0.48 | NA | NA | 1.34 | 1.21 | -2.42 | 1.03 | 1.95 | 6.35 | -2.07 | 1.98 | 2.9 | -0.54 | 2.66 | -1.06 | 6.08 | 3.38 | 3.97 | 6.47 | -1.14 | 2.4 | 1.27 | 1.24 | 2.41 | 4.65 | 3.02 | 2.41 | 0.92 |
| Yield(%) | N/A | 0.9 | 3.85 | 3.62 | 3.23 | 2.84 | N/A | N/A | 4.18 | 3.5 | 3.76 | 2.94 | 2.38 | 3.13 | 2.01 | 0.63 | 3.6 | 2.67 | 3.51 | 3.38 | 3.81 | 4.05 | 3.75 | 4.37 | 5.11 | 5.61 | 5.28 | 5.3 | 5.22 | 6.25 | 5.01 | 6.65 | 3.43 |
| 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 |
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