Ray Dalio All Weather Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
IEF iShares 7-10 Year Treasury Bond ETF	Government Bonds	40%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	30%
SHY iShares 1-3 Year Treasury Bond ETF	Government Bonds, Short-Term Bond	15%
DBC Invesco DB Commodity Index Tracking Fund	Commodities	7.50%
GLD SPDR Gold Shares	Gold, Precious Metals	7.50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Ray Dalio All Weather Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

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Returns By Period

As of Jun 18, 2026, the Ray Dalio All Weather Portfolio returned 3.01% Year-To-Date and 5.01% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-1.21%	0.23%	8.39%	10.39%	24.03%	18.94%	12.24%	13.61%
Portfolio Ray Dalio All Weather Portfolio	-0.87%	-0.78%	3.01%	3.21%	9.79%	8.70%	5.21%	5.01%
Portfolio components:
DBC Invesco DB Commodity Index Tracking Fund	-0.68%	-11.70%	23.93%	25.35%	24.10%	10.49%	11.33%	7.94%
GLD SPDR Gold Shares	-2.27%	-7.13%	-1.95%	-2.68%	24.58%	28.86%	18.70%	12.11%
IEF iShares 7-10 Year Treasury Bond ETF	-0.53%	0.93%	-0.64%	-0.69%	3.39%	2.64%	-1.26%	0.56%
SHY iShares 1-3 Year Treasury Bond ETF	-0.30%	0.03%	0.32%	0.45%	3.02%	4.06%	1.74%	1.62%
XLU State Street Utilities Select Sector SPDR ETF	-1.33%	1.18%	4.87%	5.49%	13.82%	13.14%	10.06%	9.14%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Feb 6, 2006, Ray Dalio All Weather Portfolio's average daily return is +0.02%, while the average monthly return is +0.47%. At this rate, an investment would double in approximately 12.3 years.

Historically, 65% of months were positive and 35% were negative. The best month was Feb 2026 with a return of +5.1%, while the worst month was Oct 2008 at -6.5%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Ray Dalio All Weather Portfolio closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +3.1%, while the worst single day was Mar 12, 2020 at -3.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.94%	5.07%	-1.67%	1.02%	-2.09%	-1.12%							3.01%
2025	1.89%	1.89%	1.18%	0.32%	0.71%	1.17%	1.40%	0.58%	2.56%	1.37%	1.45%	-1.61%	13.64%
2024	-0.82%	-0.67%	3.29%	-0.46%	3.66%	-1.27%	3.57%	2.16%	3.17%	-1.34%	1.19%	-3.30%	9.24%
2023	1.46%	-3.92%	3.79%	0.94%	-2.99%	-0.07%	1.37%	-2.22%	-3.13%	0.08%	3.53%	2.10%	0.56%
2022	-1.46%	0.24%	2.12%	-2.80%	1.73%	-2.61%	2.56%	-1.82%	-6.32%	0.21%	4.38%	-0.69%	-4.83%
2021	-0.69%	-2.46%	1.96%	2.53%	0.35%	-0.59%	2.41%	0.90%	-2.41%	1.73%	-0.84%	3.43%	6.28%

Benchmark Metrics

Ray Dalio All Weather Portfolio has an annualized alpha of 4.04%, beta of 0.17, and R2 of 0.21 versus S&P 500 Index. Calculated based on daily prices since February 06, 2006.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (23.93%) than losses (11.08%) - typical of diversified or defensive assets.
Beta of 0.17 may look defensive, but with R2 of 0.21 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.21 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: 4.04%

Beta: 0.17

R²: 0.21

Upside Capture: 23.93%

Downside Capture: 11.08%

See how alpha, beta & R² have trended over time →

Expense Ratio

Ray Dalio All Weather Portfolio has an expense ratio of 0.20%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

DBC

Invesco DB Commodity Index Tracking Fund

GLD

SPDR Gold Shares

IEF

iShares 7-10 Year Treasury Bond ETF

SHY

iShares 1-3 Year Treasury Bond ETF

XLU

State Street Utilities Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Ray Dalio All Weather Portfolio ranks 24 for risk / return — below 24% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Ray Dalio All Weather Portfolio and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.54	1.94	-0.40
Sortino ratioReturn per unit of downside risk	2.10	2.64	-0.55
Omega ratioGain probability vs. loss probability	1.28	1.35	-0.08
Calmar ratioReturn relative to maximum drawdown	2.38	2.65	-0.27
Martin ratioReturn relative to average drawdown	6.74	11.88	-5.14

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
DBC Invesco DB Commodity Index Tracking Fund	38	1.30	1.79	1.23	1.93	6.37
GLD SPDR Gold Shares	24	0.90	1.26	1.19	1.01	2.82
IEF iShares 7-10 Year Treasury Bond ETF	20	0.73	1.10	1.12	0.84	2.30
SHY iShares 1-3 Year Treasury Bond ETF	78	2.22	3.51	1.45	3.41	13.43
XLU State Street Utilities Select Sector SPDR ETF	27	0.95	1.35	1.17	1.51	3.23

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Ray Dalio All Weather Portfolio Sharpe ratio is 1.54 as of Jun 18, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.65 to 2.50, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Ray Dalio All Weather Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Ray Dalio All Weather Portfolio provided a 3.12% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.12%	3.14%	3.32%	3.00%	1.90%	1.21%	1.51%	2.16%	2.25%	1.87%	1.86%	1.94%
Portfolio components:
DBC Invesco DB Commodity Index Tracking Fund	2.69%	3.33%	5.22%	4.94%	0.59%	0.00%	0.00%	1.59%	1.30%	0.00%	0.00%	0.00%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IEF iShares 7-10 Year Treasury Bond ETF	3.90%	3.77%	3.62%	2.91%	1.96%	0.83%	1.08%	2.08%	2.24%	1.82%	1.81%	1.90%
SHY iShares 1-3 Year Treasury Bond ETF	3.69%	3.81%	3.92%	2.99%	1.30%	0.26%	0.94%	2.12%	1.72%	0.98%	0.71%	0.54%
XLU State Street Utilities Select Sector SPDR ETF	2.68%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Ray Dalio All Weather Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Ray Dalio All Weather Portfolio was 15.86%, occurring on Mar 10, 2009. Recovery took 345 trading sessions.

The current Ray Dalio All Weather Portfolio drawdown is 3.83%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-15.86%Mar 2009	8mo 2d	1y 4mo	2y 11dJul 2008 - Jul 2010
2023 correction2023	-13.32%Oct 2023	1y 7mo	10mo	2y 4moMar 2022 - Jul 2024
COVID crash2020	-11.14%Mar 2020	17d	4mo 8d	4mo 25dMar 2020 - Jul 2020
2016 pullback2016	-7.51%Dec 2016	4mo 27d	8mo 23d	1y 1moJul 2016 - Aug 2017
2013 pullback2013	-7.42%Jul 2013	2mo 5d	9mo 24d	11mo 29dMay 2013 - Apr 2014

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 3.52, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.58	1.48	1.47	1.51	1.62

The portfolio has a diversification ratio of 1.62, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Ray Dalio All Weather Portfolio correlation to the S&P 500 Index

Ray Dalio All Weather Portfolio has a 0.27 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.33
Correlation (10Y) Calculated over the trailing 10-year period	0.29
Correlation (All Time) Calculated using the full available price history since Feb 6, 2006	0.33

Benchmark Correlations

Correlation vs. S&P 500 Index. XLU has the highest benchmark correlation at 0.49, while IEF has the lowest at -0.26.

-0.26

-0.18

0.07

0.31

0.49

Portfolio Correlations

Correlation vs. Ray Dalio All Weather Portfolio. XLU has the highest portfolio correlation at 0.80, while DBC has the lowest at 0.34.

0.34

0.37

0.41

0.46

0.80

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	DBC	GLD	XLU	SHY	IEF
DBC	1.00	0.34	0.15	-0.10	-0.18
GLD	0.34	1.00	0.11	0.25	0.23
XLU	0.15	0.11	1.00	0.02	0.01
SHY	-0.10	0.25	0.02	1.00	0.76
IEF	-0.18	0.23	0.01	0.76	1.00

The correlation results are calculated based on daily price changes starting from Feb 6, 2006

Diversification Analysis

Find what Ray Dalio All Weather Portfolio is missing

See which holdings overlap, where Ray Dalio All Weather Portfolio is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification