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Static Portfolio
Bridgewater All Weather Portfolio Long Bonds Risk Parity
Bridgewater All Weather Portfolio Long Bonds Risk Parity (Static Portfolio)
live (public) 0.77% May 23
Buy and Hold (Quarterly Rebalance)
Equities VTSMX 12.53%
EMDebt PEBIX 24.68%
Commodiites GLD 8.23%
CorporateDebt VWEHX 10.41%
NominalBonds VUSTX 20.65%
TIPS LTPZ 23.5%
Simulated from 9/9/2009
Holdings (As of 05/23/2024)
Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Equities | VTSMX (VANGUARD TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES) | 0.85% | 12.93% |
EMDebt | PEBIX (EMERGING MARKETS BOND FUND INSTITUTIONAL) | 0.36% | 24.90% |
Commodiites | GLD (SPDR® Gold Shares) | 1.99% | 8.83% |
CorporateDebt | VWEHX (VANGUARD HIGH-YIELD CORPORATE FUND INVESTOR SHARES) | 0.0% | 10.52% |
NominalBonds | VUSTX (VANGUARD LONG-TERM TREASURY FUND INVESTOR SHARES) | 0.61% | 19.97% |
TIPS | LTPZ (PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund) | 1.17% | 22.85% |
* Day change on 05/23/2024.
Performance (As of 05/23/2024)
Since 09/09/2009
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
Bridgewater All Weather Portfolio Long Bonds Risk Parity | 0.7% | 6.5% | -2.7% | 2.9% | 3.3% | |
VFINX (Vanguard (S&P 500) Index) | 11.0% | 28.9% | 9.8% | 14.8% | 12.8% | 14.7% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.3% | 17.1% | 3.6% | 8.4% | 7.9% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 09/09/2009 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -1.0 | 0.7 | 6.5 | -2.7 | 2.9 | 3.3 | 5.2 | 9.1 | -21.3 | 3.7 | 17.2 | 17.5 | -5.3 | 8.4 | 9.8 | -4.0 | 11.9 | -7.5 | 11.6 | 15.5 | 13.0 | 4.6 |
Sharpe Ratio | NA | -0.1 | 0.29 | -0.51 | 0.13 | 0.28 | 0.61 | 0.49 | -1.88 | 0.55 | 1.49 | 2.97 | -1.37 | 1.61 | 1.49 | -0.56 | 2.34 | -1.08 | 2.57 | 2.42 | 2.24 | 0.82 |
Draw Down(%) | NA | 3.6 | 10.0 | 27.4 | 27.4 | 27.4 | 27.4 | 10.0 | 26.7 | 7.0 | 17.4 | 3.4 | 7.6 | 2.8 | 7.8 | 8.4 | 3.8 | 11.5 | 2.2 | 2.8 | 5.0 | 2.7 |
Standard Deviation(%) | NA | 7.7 | 9.3 | 9.8 | 9.6 | 7.9 | 7.3 | 9.9 | 12.1 | 6.7 | 11.4 | 5.4 | 4.8 | 4.8 | 6.5 | 7.1 | 5.1 | 7.0 | 4.5 | 6.4 | 5.8 | 5.6 |
Treynor Ratio | NA | -0.02 | 0.07 | -0.21 | 0.08 | 0.17 | 0.41 | 0.19 | -0.88 | 0.25 | 1.54 | 20.59 | -1.16 | 1.82 | -6.38 | -0.53 | 5.25 | -0.69 | 28.24 | 2.62 | 2.21 | 1.09 |
Alpha | NA | -0.03 | -0.02 | -0.02 | 0.0 | 0.0 | 0.01 | 0.0 | -0.08 | 0.0 | 0.06 | 0.06 | -0.02 | 0.03 | 0.04 | -0.02 | 0.04 | -0.04 | 0.04 | 0.06 | 0.05 | 0.05 |
Beta | NA | 0.32 | 0.38 | 0.24 | 0.16 | 0.13 | 0.11 | 0.25 | 0.26 | 0.15 | 0.11 | 0.01 | 0.06 | 0.04 | -0.02 | 0.08 | 0.02 | 0.11 | 0.0 | 0.06 | 0.06 | 0.04 |
RSquared | NA | 0.22 | 0.22 | 0.18 | 0.13 | 0.08 | 0.06 | 0.11 | 0.27 | 0.08 | 0.11 | 0.0 | 0.04 | 0.0 | 0.0 | 0.03 | 0.0 | 0.03 | 0.0 | 0.05 | 0.03 | 0.01 |
Sortino Ratio | NA | -0.13 | 0.41 | -0.71 | 0.18 | 0.39 | 0.84 | 0.73 | -2.44 | 0.78 | 2.02 | 4.56 | -1.75 | 2.4 | 2.17 | -0.76 | 3.43 | -1.34 | 4.06 | 3.63 | 3.22 | 1.32 |
Yield(%) | N/A | 1.4 | 4.2 | 3.6 | 4.5 | 4.2 | 3.8 | 3.7 | 3.9 | 3.8 | 4.4 | 3.1 | 1.7 | 0.8 | 4.2 | 3.4 | 4.3 | 3.9 | 3.8 | 5.0 | 4.3 | 1.5 |
Dividend Growth(%) | N/A | -58.1 | -1.8 | 14.8 | 85.4 | N/A | N/A | -23.3 | 4.3 | 0.8 | 68.1 | 69.6 | 147.6 | -80.1 | 16.3 | -9.6 | 1.2 | 15.1 | -13.2 | 30.3 | 201.4 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 09/09/2009
Strategies
Asset Allocation Strategy | Rebalance for Static Portfolios |