저자: PensionCraft진행자 · 외국인
요약 보기
결론: 레이 달리오의 올웨더 포트폴리오를 영국 투자자가 직접 구성하는 방법과 과거 성과를 설명하며, 저비용이지만 장기적으로 60/40 포트폴리오 등 단순 전략보다 나은 성과를 보장하지 못한다고 평가함. [포트폴리오 개념] 올웨더는 성장률(GDP)과 물가 각각의 가속/둔화 조합으로 네 가지 국면을 나누고, 어느 국면에서든 최소 하나는 잘 버티는 자산을 섞는 전략이다. 주식은 성장·물가가 안정적일 때 강하고, 디플레이션 침체에서는 장기채·금이 상대적으로 낫다. [자산 배분] 주식 30%, 장기국채 40%, 중기국채 15%, 금 7.5%, 원자재 7.5%. 주식의 변동성이 국채의 약 2배라 위험 기여도를 맞추기 위해 주식 비중이 작다. [영국에서의 구성 방법] 영국 FTSE100 추종(연 0.7% 이하), 영국 중기채·장기채 추종 펀드, 금·원자재 펀드(환노출 비용 고려, 달러 기준 상품은 파운드 투자자에게 환위험 존재), 헤지형 상품 대안 제시. 가중평균 총보수는 약 0.09%(연)로 매우 낮으나 연 1회 정도 직접 리밸런싱해야 함. [과거 성과 검증] 2011년 이후 성과: 연 6.1%로, 생명전략(Vanguard LifeStrategy) 20~100% 펀드 대비 대체로 열위. 위험 대비 수익도 낮음. 장기 데이터(1970년 이후, portfolio charts 기준)에서는 물가 차감 연 약 5.3%, 위험 약 9.6%로 약 1/3 기간 손실. 같은 기간 60/40은 연 5.8%로 더 높은 수익을 보였으나 위험은 14.2%. [결론·리스크] 올웨더는 특정 경제 국면 대응력은 있으나 영국 시장에서 과거 50년간 성과가 뛰어나지 않았으며, 더 단순한 60/40이나 생명전략이 대안이 될 수 있음. 영상은 투자 권유가 아니며 개인별 조언은 독립 재무상담을 권장. [출연자 전망] 구체적 가격·지수 목표치 발언은 없음. 전반적으로 올웨더 전략의 장기 우위에 회의적 입장.
다듬은 글
One of the most important decisions you will make as an investor is how much money to invest in each asset class. This is called asset allocation. So, how much will you invest in stocks, how much in bonds, how much in commodities, and how much in real estate. There are several stock portfolios that you can simply copy.
And the most famous of them is probably the all-weather briefcase or all-season briefcase , created by Ray Dallio. Building such a portfolio in the UK is a bit different from building one for American investors, as is how well it performs in the long term. Let's look at this in a little more detail.
This is not a recommendation. If you need advice tailored to your specific circumstances, please seek independent financial advice. First, let's understand what we mean by all-weather . This portfolio was the brainchild of Ray Dallio, a very famous and very successful hedge fund manager. And the briefcase was popularized by Tony Robbins, a self-help expert.
Ray Dios created this video called "How the Economic Machine Works," and it's half an hour of your life that would be very well spent if you watched it. It explains how U.S. credit cycles affect the country's economy, as well as global markets . It's beautifully explained and illustrated, and it's here on YouTube.
Tony Robbins has written a number of books, and Unwavering was one that many of my clients had read and told me about . So I bought it and read it, and I have to say I really liked it. The content is explained very clearly without any jargon. And he makes many of the same points as I do . During market crashes, you should buy, not sell, because it is a good buy .
A combination of saving as much as possible , compounding interest, and plenty of time can lead to very good returns in the long run. Try to avoid excessive fees and diversify across asset types and countries. Tony Robbins has a huge global audience. So he took Ray Dallio's rather theoretical concept and made it accessible to the average person, explaining it in very simple terms in his books.
The central concept of any weather is as follows. We can either have an acceleration in growth or a slowdown. The same applies to price increases. They can either speed up or slow down. Another name for growth is GDP, gross domestic product. Another name for rising prices is inflation. And this automatically divides the state of the world into four possible states.
When times are good, you get an inflationary boom. And that's when growth accelerates and price increases also increase. And in such an environment , assets like stocks perform particularly well, as long as inflation is not too high. If growth accelerates but prices slow, it is called a disinflationary boom .
And again, stocks perform quite well in this environment. When growth slows and prices fall, it's called a deflationary recession, and it's a truly toxic environment for stocks. In such an environment, long-term bonds and assets such as gold tend to hold their value better, and stocks typically fall in value.
And when growth slows but prices rise, that's also bad for stocks. But it could also be bad for long-term bonds. Therefore, it may be better to move to intermediate bonds with shorter maturities and shorter durations, and this environment may also be conducive to commodities. So there is no asset that works in all environments.
Therefore, an all-weather strategy tries to find assets that perform well in at least one of the four states. The actual mix of assets is as follows. You have 30% in stocks, a very large allocation to long-term government bonds, that's 40%, only 15% in medium-term government bonds, and 7.5% each in gold and commodities.
You may be shocked by how small the allocation to stocks is, but keep in mind that the volatility, or risk, of stocks is typically about twice the risk of government bonds. Here I've shown the volatility over time for the UK Footsie 100 and for a UK government bond fund , and you can see that it's roughly 2:1.
This means that if you have a portfolio that's 50/50 stocks and government bonds, it turns out that most of the risk is going to come from stocks. So the idea is that you have roughly the same risk contribution from each asset class, which means including a much smaller number of stocks in the portfolio.
Both Dalio and Robbins are from the US. If you wanted to recreate something like an all-weather portfolio in the UK, how would we do it? I'm going to talk about each of the different allocations and which funds allow you to access them at a very low cost. Starting with regional stocks, we'll probably need something like the Footsie 100.
Fortunately, you can buy access to the Footsie 100 very cheaply, for just 0.7% per year. Strictly speaking, Dalio says you should access your home market, and in the UK that means Footsie stocks. Here again, you can track the index very cheaply, for just 0.6% per year. Dallio distinguishes between intermediate government bonds, which typically have a maturity of 10 to 15 years, and long-term government bonds, which have a maturity of more than 15 years.
So what I've done here with the intermediate bonds is I've chosen funds that track the whole UK wine market as that gives you a duration of around 10 years, which is what a mid-term bond fund would have. And here you can also buy very cheap trackers that will only cost you about 0.6 or 0.7% per year.
For long-term government bonds, the cost is slightly higher, around 0.15% per year, and the choice is more limited. Now, for American investors, if they buy gold, commodity prices are measured in US dollars. So they don't take on the currency risk that we take on in the UK because we have to think in pounds sterling.
So not only do we take on the gold price risk, we also take on the currency risk between the dollar and the pound sterling. And these funds are also typically quite expensive, with rates of 0.25% per year or more. If you're worried about currency risk, you can always get a physical gold hedge fund like the one offered by ETFs.
But it is quite expensive, with a rate of 39% per year. General merchandise stocks are also quite expensive. The cheapest one I could find cost 0.19% per year. And again, if you're worried about currency risk, you can always get a hedged version, such as the one offered by UBS, for 0.34% per year. One of the most attractive things about building your own all-weather portfolio in the UK is that the cost is very low.
If we take the weighted average of the fees, the total fee is only nine basis points. This is 0.09% per year. But of course, you will have to rebalance this portfolio yourself. You don't need to do this very often. Maybe only once a year, but it's difficult. Now let's think about the risks and rewards of an all-weather fund in the UK.
I chose some of the series that have the longest history to create this time series. This is not necessarily the only implementation of the all-weather foundation for the UK version, but it will give you a rough idea of what to expect. Here is the return you would have received if you had invested £100 around 2011.
This would currently cost around £160. If you compare this to the Vanguard Life Strategy 20% fund , which consists of only 20% stocks and 80% bonds, the return will be slightly better. But when compared to the 40% life strategy, which consists of 40% stocks, the returns are not as good. And when we move on to the 60%, 80%, and 100% life strategy, we can see that the all-weather fund lags significantly behind other funds.
And the numbers I showed on the right are for annualized returns. This is 6.1% per year for all-weather funds compared to 5.7% to 9.6% for life strategy funds. If we plot this on a risk- return graph, where risk is on the x-axis and return is on the y-axis , we see that the British allweber simply did not perform very well given the level of risk it was taking on.
Its risk is about 6.8%, which is consistent with its volatility, and its return over this period was 59%. But the life strategy fund with the closest risk level is the 60% life strategy fund , where the return was much higher—80%. And even a life strategy fund with a lower risk level of 40%, where the risk was only 5.1%, gave a higher return—67%.
Other ways to think about it—we could read on the risk scale where we would be on the life strategy continuum, and for that level of risk, if we pooled the life strategy funds, we could get a return of 76%, not 59%. So overall, not a very great risk-adjusted return over this period since 2011. But, of course, this is an all-weather fund.
And the period we looked at since 2011 was particularly favorable. This graph shows the U.S. gross domestic product or growth since 1950. And the gray bars show recessions in the US. To really test this portfolio, you would have to go through several such growth and contraction cycles. In other words, both bad and good weather.
And the more cycles we look at, the better we get a sense of how well all- weather performs across a wider range of economic conditions. There is a great site called portfolio charts.com where you can track performance since 1970. And that gives an average return, minus inflation, of about 5.3% with a risk of about 9.6%, and that shows that all seasons lost money about a third of the time.
But if you compare this to a classic portfolio of 60% stocks and 40% bonds, the return would actually be better than any weather since 1970 in the UK. We would get an average return of 5.8%, not 5.3%, in any weather. Although the risk would be slightly higher – 14.2% instead of 9.6%, and we would lose money a little more often, but still about a third of the time .
So the results of any weather over the last 50 years or so have not been stellar here in the UK. You would be better off with something simpler, like a 6040 equity bond portfolio. And as we have seen, the life strategy is also very competitive. Now, if you find this video helpful, and I hope so, many of you are telling us that you do, then please consider supporting us on Patreon.
I fully rely on your support. So it would be great if you could sign up for just $5 a month. It's actually not that much. You can join our Slack channel and chat with me anytime. And you can also join our live Q& A sessions on Sunday evenings. It's a very friendly, informal environment, and you can ask any question you want.
And if you upgrade to the $15 per month level, you will have an individual meeting with me once every two months. So, as always, thank you for listening.
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