Ray Dalio All Weather Portfolio
The All-Weather portfolio is an investment strategy developed by Ray Dalio, the founder of Bridgewater Associates, a prominent hedge fund. It is designed to be a globally diversified portfolio that can perform well in various market conditions, hence the name "All Weather." The portfolio is intended to be relatively simple and easy to implement, with a mix of stocks, bonds, commodities, and currencies.
The core of the All Weather portfolio is a combination of 30% stocks, 40% long-term bonds, 15% intermediate-term bonds, and 15% commodities. The specific investments within each category can vary, but the overall allocation is meant to be relatively stable over time, which could be achieved through regular rebalancing.
One of the fundamental principles behind the All Weather portfolio is the idea of "risk parity," which seeks to balance risk across different asset classes rather than maximizing returns from any particular asset. The goal is to create a portfolio that can weather market volatility and produce consistent returns over the long term.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 7.50% |
GLD SPDR Gold Trust | Precious Metals, Gold | 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 Quarterly
The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC
Returns By Period
As of Sep 17, 2024, the Ray Dalio All Weather Portfolio returned 12.32% Year-To-Date and 4.71% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.10% | 1.42% | 9.39% | 26.58% | 13.42% | 10.88% |
| Ray Dalio All Weather Portfolio | 12.32% | 3.18% | 12.04% | 14.45% | 4.27% | 4.71% |
| Portfolio components: | ||||||
DBC Invesco DB Commodity Index Tracking Fund | -1.21% | -1.97% | -5.17% | -10.49% | 8.63% | -0.01% |
GLD SPDR Gold Trust | 24.84% | 2.88% | 19.45% | 33.04% | 11.10% | 7.40% |
IEF iShares 7-10 Year Treasury Bond ETF | 5.25% | 2.44% | 7.59% | 10.08% | -0.41% | 1.59% |
XLU Utilities Select Sector SPDR Fund | 27.01% | 6.31% | 25.06% | 26.14% | 7.72% | 9.91% |
SHY iShares 1-3 Year Treasury Bond ETF | 4.06% | 1.15% | 4.05% | 6.78% | 1.43% | 1.29% |
Monthly Returns
The table below presents the monthly returns of Ray Dalio All Weather Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.82% | -0.67% | 3.29% | -0.46% | 3.66% | -1.27% | 3.57% | 2.16% | 12.32% | ||||
| 2023 | 1.46% | -3.92% | 3.79% | 0.94% | -2.99% | -0.06% | 1.37% | -2.22% | -3.13% | 0.08% | 3.53% | 2.10% | 0.57% |
| 2022 | -1.46% | 0.24% | 2.12% | -2.80% | 1.73% | -2.62% | 2.56% | -1.82% | -6.32% | 0.21% | 4.38% | -0.70% | -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% |
| 2020 | 3.20% | -2.25% | -2.36% | 1.43% | 2.16% | -0.84% | 3.90% | -0.86% | -0.17% | 0.69% | 0.71% | 1.01% | 6.60% |
| 2019 | 2.09% | 1.23% | 1.84% | 0.14% | 0.76% | 2.39% | -0.12% | 3.49% | 0.63% | 0.23% | -1.09% | 1.34% | 13.62% |
| 2018 | -1.37% | -1.92% | 1.83% | 0.25% | 0.22% | 0.51% | -0.09% | 0.75% | -0.50% | 0.24% | 1.00% | 0.09% | 0.95% |
| 2017 | 0.84% | 2.11% | -0.27% | 0.63% | 1.48% | -1.27% | 1.39% | 1.95% | -1.54% | 1.32% | 0.78% | -1.46% | 6.01% |
| 2016 | 2.99% | 2.03% | 2.62% | 0.32% | -0.03% | 4.61% | -0.48% | -2.32% | 0.58% | -0.58% | -3.88% | 1.63% | 7.42% |
| 2015 | 2.74% | -3.10% | -0.52% | 0.13% | -0.18% | -2.44% | 0.98% | -0.83% | 1.21% | 0.24% | -1.87% | 0.01% | -3.71% |
| 2014 | 2.18% | 2.03% | 0.53% | 1.71% | 0.08% | 1.86% | -2.78% | 2.17% | -1.97% | 2.56% | 0.27% | 0.67% | 9.54% |
| 2013 | 1.08% | 0.44% | 1.91% | 1.58% | -4.65% | -1.68% | 1.99% | -1.47% | 0.42% | 1.43% | -1.40% | -0.81% | -1.37% |
Expense Ratio
Ray Dalio All Weather Portfolio has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Ray Dalio All Weather Portfolio is 38, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | -0.77 | -1.00 | 0.89 | -0.21 | -1.53 |
GLD SPDR Gold Trust | 2.41 | 3.33 | 1.42 | 2.69 | 14.43 |
IEF iShares 7-10 Year Treasury Bond ETF | 1.27 | 1.85 | 1.22 | 0.41 | 4.28 |
XLU Utilities Select Sector SPDR Fund | 1.50 | 2.07 | 1.27 | 1.01 | 5.75 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.45 | 5.83 | 1.76 | 2.03 | 25.01 |
Dividends
Dividend yield
Ray Dalio All Weather Portfolio granted a 2.85% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ray Dalio All Weather Portfolio | 2.85% | 3.00% | 1.90% | 1.21% | 1.51% | 2.16% | 2.25% | 1.87% | 1.86% | 1.94% | 1.83% | 1.91% |
| Portfolio components: | ||||||||||||
DBC Invesco DB Commodity Index Tracking Fund | 5.00% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GLD SPDR Gold Trust | 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 | 3.22% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% |
XLU Utilities Select Sector SPDR Fund | 2.11% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% | 3.19% | 3.86% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.67% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% | 0.36% | 0.26% |
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.
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.
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 current Ray Dalio All Weather Portfolio volatility is 1.27%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| XLU | DBC | GLD | SHY | IEF | |
|---|---|---|---|---|---|
| XLU | 1.00 | 0.17 | 0.11 | 0.00 | -0.01 |
| DBC | 0.17 | 1.00 | 0.35 | -0.09 | -0.17 |
| GLD | 0.11 | 0.35 | 1.00 | 0.25 | 0.23 |
| SHY | 0.00 | -0.09 | 0.25 | 1.00 | 0.76 |
| IEF | -0.01 | -0.17 | 0.23 | 0.76 | 1.00 |