Core Viewpoint - The article discusses the All Weather Strategy developed by Bridgewater, emphasizing its robust performance and ability to withstand market fluctuations through a risk parity approach. The strategy has been made available in a more transparent ETF format in collaboration with State Street, with a current scale of approximately $204 million as of the end of May 2023 [1][2]. Group 1: All Weather Strategy Overview - The All Weather Strategy aims to diversify risk across various asset classes to mitigate impacts from different market environments, with a notable focus on risk parity principles [4][11]. - The asset allocation of the All Weather ETF as of March 2023 includes 76% nominal government bonds, 42% equities, and 39% commodities, with specific allocations to U.S. bonds (33%), U.K. bonds (9%), and gold (14%) [1][4]. - The ETF experienced significant volatility shortly after its launch, with a maximum drawdown of 8.78% in April 2023, but managed to recover to its initial value by the end of May [2][4]. Group 2: Risk Parity and Scenario Parity - The article introduces the concept of "Scenario Parity," which involves constructing asset baskets based on different macroeconomic scenarios (e.g., economic growth, inflation) and allocating them according to risk parity principles [11][12]. - The macro scenarios identified include: - Economic growth: equities and commodities - Economic downturn: nominal bonds, inflation-protected bonds, and gold - Rising inflation: commodities and inflation-protected bonds - Moderate inflation or deflation: nominal bonds and equities [11][12]. - Historical performance data indicates that the Scenario Parity approach yields higher annualized returns compared to traditional risk parity strategies, with a notable increase in performance during volatile market conditions [16][18]. Group 3: Macro Sensitivity and Internal Equity Practices - The article discusses the application of macro sensitivity analysis to construct equity portfolios that align with the All Weather Strategy, focusing on the sensitivity of different sectors to macroeconomic variables [22][41]. - The analysis identifies sectors with the highest and lowest sensitivity to economic conditions, liquidity, inflation, and credit, allowing for more informed asset allocation decisions [23][41]. - The performance of equity portfolios constructed using the Scenario Parity approach demonstrates superior returns and lower drawdowns compared to traditional risk parity and equal-weighted strategies, particularly in volatile market environments [44][46].

Group 1 - The core idea of the article revolves around the All-Weather Strategy, which is favored by investors for its robust performance and ability to withstand cyclical fluctuations [1][3] - The All-Weather ETF launched by Bridgewater and State Street in March 2025 has a scale of approximately $204 million as of the end of May, with a leverage level of about 1.8 times [1] - The asset allocation of the All-Weather ETF as of March includes approximately 25% in stocks, 20% in commodities, and 55% in bonds, which is similar to the target allocation of the risk parity product RPAR [3][4] Group 2 - The All-Weather ETF has shown characteristics of a Beta strategy, primarily holding long positions, and has experienced significant fluctuations in the market, with a maximum drawdown of 8.78% shortly after its launch [3][4] - The maximum drawdown of the risk parity ETF RPAR with a leverage level of 1.2 times was about 8%, while the UPAR with a leverage level of 1.7 times had a maximum drawdown of approximately 11% [3] - The All-Weather ETF's drawdown is between the two risk parity ETFs, indicating a strong correlation with similar strategy products [3] Group 3 - The report explores various construction methods for the All-Weather Strategy, starting from the basic risk parity strategy and considering the application of All-Weather thinking within high-correlation equity assets [4][12] - The core idea of risk parity is to equalize the risk contribution of each asset in the portfolio, with a focus on achieving a balanced risk exposure across different macroeconomic scenarios [4][12] Group 4 - The article discusses the concept of "Scenario Parity," which involves identifying asset combinations that benefit from different macroeconomic conditions and allocating them based on risk parity [12][14] - The asset allocation for different macro scenarios includes stocks and commodities during economic growth, nominal bonds and gold during economic downturns, and inflation-protected bonds during rising inflation [12][13] Group 5 - The performance of the "Scenario Parity" strategy has been superior to traditional risk parity, with a static scenario parity combination yielding an annualized return of 5.01% compared to 4.00% for risk parity [17][18] - Dynamic combinations based on macroeconomic factors have shown even better performance, with the dynamic scenario parity strategy achieving an annualized return of 6.57% [17][18] Group 6 - The article emphasizes the importance of macro sensitivity in constructing portfolios, suggesting that using sensitivity measures can lead to more effective asset allocation compared to traditional regression methods [23][24] - The results indicate that portfolios constructed using macro sensitivity measures have better explanatory power and stability compared to those based solely on regression analysis [25][36] Group 7 - The All-Weather strategy can also be applied internally within equity assets, similar to a "barbell strategy," by calculating the exposure of sectors and stocks to various macroeconomic variables [28][29] - The performance of sector-based All-Weather combinations has shown significant improvement, with the scenario parity approach yielding higher returns and lower drawdowns compared to traditional risk parity [34][50]

Group 1 - The report discusses the re-evaluation of the All-Weather Strategy, emphasizing the need for a more balanced asset allocation approach in the context of China's low bond volatility, which leads to higher bond allocations than intended under traditional risk parity models [3][20]. - The concept of "Scenario Parity" is introduced, where asset allocation is based on different macroeconomic scenarios (growth and inflation), allowing for a more tailored asset basket that can enhance returns compared to traditional risk parity [3][21]. - The report highlights the performance of the All-Weather ETF launched by Bridgewater, which has shown resilience and recovery from market volatility, with a maximum drawdown of 8.78% shortly after its launch [8][12]. Group 2 - The report outlines the construction of a "Scenario Parity" portfolio using regression analysis to measure asset exposure to macroeconomic factors, resulting in a more effective asset allocation strategy that improves returns while reducing bond exposure [3][22]. - The performance metrics of various asset allocation strategies are compared, showing that the "Scenario Parity" approach yields higher annualized returns and lower drawdowns compared to traditional risk parity strategies [29][55]. - The report emphasizes the importance of macro sensitivity in constructing portfolios, demonstrating that portfolios based on sensitivity measures outperform those based solely on regression analysis, particularly in volatile market conditions [34][55]. Group 3 - The report explores the application of the All-Weather strategy within equity assets, indicating that a focus on macro exposure can lead to better risk diversification and performance, especially in uncertain market environments [41][43]. - The analysis of industry ETFs reveals significant differences in macro exposure, suggesting that a more nuanced approach to sector allocation can enhance overall portfolio performance [45][48]. - The report concludes that using macro sensitivity to guide asset selection within equity portfolios can lead to improved risk-adjusted returns, highlighting the effectiveness of this strategy in various economic scenarios [55][56].