What insights could we obtain from the All Weather Portfolio?

Published on Apr 26, 2023. If we can equalise risk contribution by asset class, why can't we do the same for market regimes? In this publication, we aim to provide insights into the All-Weather Portfolio (ALP) and test whether we can use this insight to construct a resilient portfolio that equalizes its risk over different market environments. We would first provide insights into the rationale behind the standard ALP and asset class performance under different market regimes, then we would attempt to reconstruct the ALP along with the core concept proposed.