All Weather (Dalio-style) Portfolio: Returns, Risk & Holdings | Redstone

All Weather (Dalio-style) Portfolio: Returns, Risk & Holdings | Redstone

Performance

All Weather (Dalio-style) +2.65%

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RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
All Weather (Dalio-style)	+0.37%	+1.90%	+2.65%	+2.32%	-5.16%	-0.20

TLT	+0.14%	-10.40%	-13.95%	-11.70%	-16.24%	-2.00
VTI	+0.63%	+13.57%	+18.69%	+10.64%	-9.20%	1.05
IEF	-0.06%	-6.95%	-7.75%	-4.86%	-9.26%	-2.46
GLD	+1.57%	-3.44%	+4.19%	+18.45%	-26.40%	0.14
DBC	+0.15%	+47.21%	+49.34%	+8.76%	-16.54%	1.84

Current Drawdown

-2.95%

Rolling Volatility

+0.47%

METRICS

Correlation Matrix

	DBC	GLD	IEF	TLT	VTI
DBC	1.00	0.23	-0.37	-0.39	-0.23
GLD	0.23	1.00	0.25	0.13	0.36
IEF	-0.37	0.25	1.00	0.91	0.33
TLT	-0.39	0.13	0.91	1.00	0.31
VTI	-0.23	0.36	0.33	0.31	1.00

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Portfolio

Allocation

5 Assets

VTI

TLT

IEF

GLD

DBC

Metrics

Risk Indicators

Alpha-7.98%

Beta0.46x

Sharpe-0.20

Sortino-0.27

Omega0.97

Calmar0.51

Martin-0.85

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