Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 7.50% |
GLD SPDR Gold Shares | Gold, Precious Metals | 7.50% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 40% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 15% |
XLU Utilities Select Sector SPDR Fund | Utilities Equities | 30% |
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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The earliest data available for this chart is Feb 6, 2006, corresponding to the inception date of DBC
Returns By Period
As of Apr 2, 2026, the Ray Dalio All Weather Portfolio returned 5.78% Year-To-Date and 5.63% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Ray Dalio All Weather Portfolio | 0.26% | -0.49% | 5.78% | 6.66% | 14.02% | 9.22% | 6.14% | 5.63% |
| Portfolio components: | ||||||||
DBC Invesco DB Commodity Index Tracking Fund | 2.27% | 13.20% | 31.17% | 35.71% | 33.85% | 11.56% | 14.82% | 10.42% |
GLD SPDR Gold Shares | -1.92% | -8.27% | 8.35% | 21.03% | 49.02% | 32.51% | 21.53% | 13.97% |
IEF iShares 7-10 Year Treasury Bond ETF | 0.23% | -1.48% | 0.01% | 0.50% | 3.83% | 2.14% | -0.73% | 0.79% |
XLU Utilities Select Sector SPDR Fund | 0.50% | -0.86% | 9.31% | 6.98% | 20.02% | 14.75% | 11.01% | 9.89% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.05% | -0.23% | 0.31% | 1.24% | 3.70% | 3.85% | 1.71% | 1.65% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 7, 2006, Ray Dalio All Weather Portfolio's average daily return is +0.02%, while the average monthly return is +0.49%. At this rate, your investment would double in approximately 11.8 years.
Historically, 66% of months were positive and 34% 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% | 0.44% | 5.78% | ||||||||
| 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 4.32%, beta of 0.17, and R² of 0.21 versus S&P 500 Index. Calculated based on daily prices since February 07, 2006.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (25.01%) than losses (10.75%) — 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
- 4.32%
- Beta
- 0.17
- R²
- 0.21
- Upside Capture
- 25.01%
- Downside Capture
- 10.75%
Expense Ratio
Ray Dalio All Weather Portfolio has an expense ratio of 0.22%, 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.
Return for Risk
Risk / Return Rank
Ray Dalio All Weather Portfolio ranks 88 for risk / return — in the top 88% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.02 | 0.88 | +1.14 |
Sortino ratioReturn per unit of downside risk | 2.72 | 1.37 | +1.36 |
Omega ratioGain probability vs. loss probability | 1.38 | 1.21 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 3.84 | 1.39 | +2.45 |
Martin ratioReturn relative to average drawdown | 12.82 | 6.43 | +6.39 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 81 | 1.80 | 2.41 | 1.32 | 3.16 | 8.12 |
GLD SPDR Gold Shares | 80 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
IEF iShares 7-10 Year Treasury Bond ETF | 32 | 0.72 | 1.06 | 1.12 | 1.16 | 2.87 |
XLU Utilities Select Sector SPDR Fund | 62 | 1.27 | 1.73 | 1.24 | 2.24 | 5.38 |
SHY iShares 1-3 Year Treasury Bond ETF | 95 | 2.57 | 4.23 | 1.54 | 4.08 | 15.52 |
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Dividends
Dividend yield
Ray Dalio All Weather Portfolio provided a 3.06% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.06% | 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 | 2.54% | 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 | 3.84% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
XLU Utilities Select Sector SPDR Fund | 2.57% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.72% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
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 1.50%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.86% | Jul 11, 2008 | 167 | Mar 10, 2009 | 345 | Jul 22, 2010 | 512 |
| -13.32% | Mar 8, 2022 | 398 | Oct 5, 2023 | 205 | Jul 31, 2024 | 603 |
| -11.14% | Mar 6, 2020 | 12 | Mar 23, 2020 | 89 | Jul 29, 2020 | 101 |
| -7.51% | Jul 7, 2016 | 104 | Dec 1, 2016 | 180 | Aug 21, 2017 | 284 |
| -7.42% | May 1, 2013 | 46 | Jul 5, 2013 | 203 | Apr 25, 2014 | 249 |
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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | DBC | GLD | XLU | SHY | IEF | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.32 | 0.06 | 0.49 | -0.19 | -0.27 | 0.33 |
| DBC | 0.32 | 1.00 | 0.35 | 0.16 | -0.10 | -0.17 | 0.34 |
| GLD | 0.06 | 0.35 | 1.00 | 0.11 | 0.25 | 0.22 | 0.46 |
| XLU | 0.49 | 0.16 | 0.11 | 1.00 | 0.02 | 0.01 | 0.80 |
| SHY | -0.19 | -0.10 | 0.25 | 0.02 | 1.00 | 0.76 | 0.36 |
| IEF | -0.27 | -0.17 | 0.22 | 0.01 | 0.76 | 1.00 | 0.41 |
| Portfolio | 0.33 | 0.34 | 0.46 | 0.80 | 0.36 | 0.41 | 1.00 |