ALLW - Bridgewater released an ETF version of All Weather last month with State Street
https://www.ssga.com/us/en/intermediary/etfs/spdr-bridgewater-all-weather-etf-allw
https://www.sec.gov/Archives/edgar/data/1516212/000119312524261064/d824091d485apos.htm
https://www.reddit.com/r/LETFs/comments/1j7zn82/allw_new_leveraged_all_weatherrisk_parity_etf/
0.85% expense ratio
>Bridgewater provides a daily model portfolio to SSGA FM based on Bridgewater's proprietary All Weather asset allocation approach. The model portfolio is specific to the Fund. Based on Bridgewater's investment recommendations, SSGA FM purchases and sells securities and/or instruments for the Fund.
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>Bridgewater's proprietary strategy is an approach to strategic asset allocation that is designed with the goal of generating consistent returns across different economic environments. Bridgewater believes that asset classes have different structural sensitivities to economic conditions that can be logically understood because they are rooted in the characteristics of the asset's cash flows, and that this understanding can be used to structure a portfolio that is diversified to what Bridgewater believes are the most important fundamental macro drivers of asset returns: growth and inflation.
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>For example, allocating to assets that Bridgewater believes will likely outperform in rising growth (e.g., equities and commodities) alongside assets it believes will likely outperform in falling growth (e.g., fixed-rate and inflation-linked government debt) can create a portfolio that collects the market risk premium with no fundamental sensitivity to growth conditions. Similarly, allocating to assets that Bridgewater believes will likely outperform in rising inflation (e.g., commodities and inflation-linked debt) alongside assets it believes will likely outperform in low or stable inflation (e.g., fixed-rate government debt and equities) can create a portfolio that collects the market risk premium with no fundamental sensitivity to inflation. Bridgewater refers to this approach to portfolio diversification as “environmental balance”.
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>Bridgewater does not vary the weights of investments in the model portfolio based on any tactical view of how particular investments will perform, but rather attempts to balance the risk of the model portfolio based on its understanding of the relationship between asset classes and economic environments. Bridgewater may, however, vary the allocations across and within asset classes based on its assessment of market conditions and evolutions in its understanding of how to best achieve balance to growth and inflation. The model portfolio typically targets an annualized volatility level for the portfolio ranging between 10%-12%.
Current Allocation:
Global Nominal Bonds (all futures): 71.37%
- 30.7% US 10yr
- 20.0% Australia 10yr
- 20.0% German Bund 10yr
- 16.1% US Long
- 9.8% UK Gilt 10yr
- 3.3% Canada 10yr
Inflation Linked Bonds: 32.42%
- 100% US TIPS
Global Equities: 41.70%
- 35.5% US (SPLG)
- 25.0% Europe (STOXX 50 futures)
- 12.4% Japan (Topix futures)
- 10.0% China (GXC, SPEM)
- 9.7% Australia (SPI 200 futures)
- 7.5% Emerging Markets ex China (SPEM)
Commodities (all futures): 36.67%
- 48.2% Precious metals
- 19.2% Energy
- 9.6% Industrial metals
- 4.9% Softs
- 3.4% Livestock