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

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

Performance

All Weather (Dalio-style) +2.07%

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RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
All Weather (Dalio-style)	-1.08%	+1.39%	+2.11%	+2.47%	-5.23%	-0.27

TLT	-0.88%	-9.66%	-12.28%	-11.17%	-14.60%	-1.78
VTI	-1.03%	+11.75%	+14.90%	+10.70%	-9.20%	0.79
IEF	-0.52%	-6.82%	-7.22%	-4.80%	-8.63%	-2.33
GLD	-3.94%	-5.11%	+7.22%	+18.19%	-26.40%	0.24
DBC	-0.40%	+45.11%	+43.63%	+9.13%	-16.54%	1.65

Current Drawdown

-3.57%

Rolling Volatility

+0.50%

METRICS

Correlation Matrix

	DBC	GLD	IEF	TLT	VTI
DBC	1.00	0.23	-0.39	-0.41	-0.20
GLD	0.23	1.00	0.25	0.13	0.35
IEF	-0.39	0.25	1.00	0.91	0.30
TLT	-0.41	0.13	0.91	1.00	0.26
VTI	-0.20	0.35	0.30	0.26	1.00

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Portfolio

Allocation

5 Assets

VTI

TLT

IEF

GLD

DBC

Metrics

Risk Indicators

Alpha-6.82%

Beta0.44x

Sharpe-0.27

Sortino-0.36

Omega0.96

Calmar0.40

Martin-1.21

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