Being Long Classic Risk Premia Is A Terrible Place To Be This Year

Being long traditional risk factors has been an awful place to be this year. The lesson of the stability of correlations is especially apparent here.

PDF on the all-weather portfolio here.

There used to be a table of Bridgewater’s All-Weather Portfolio performance here, but they asked me to take it down (they were down about 30% for the year as of November 2008).