Ray Dalio Portfolio 1

Asset Allocation

Position	Category/Sector	Target Weight
DBC Invesco DB Commodity Index Tracking Fund	Commodities	8%
DBMF iM DBi Managed Futures Strategy ETF	Hedge Fund, Actively Managed	3%
EWJ iShares MSCI Japan ETF	Japan Equities	5%
EWL iShares MSCI Switzerland ETF	Europe Equities	2%
EWU iShares MSCI United Kingdom ETF	Europe Equities	3%
GLD SPDR Gold Shares	Gold, Precious Metals	12%
ISHG iShares 1-3 Year International Treasury Bond ETF	International Government Bonds	7%
SHV iShares Short Treasury Bond ETF	Government Bonds	10%
TAIL Cambria Tail Risk ETF	Volatility Hedged Equity	2%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	5%
USD=X USD Cash		3%
VGK Vanguard FTSE Europe ETF	Europe Equities	12%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	8%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	8%
VTV Vanguard Value ETF	Large Cap Value Equities	4%
VWO Vanguard FTSE Emerging Markets ETF	Emerging Markets Equities	8%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Ray Dalio Portfolio 1, 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 May 8, 2019, corresponding to the inception date of DBMF

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-4.18%	-3.84%	-1.98%	21.98%	16.86%	10.37%	12.29%
Portfolio Ray Dalio Portfolio 1	0.00%	-1.67%	4.19%	7.29%	21.22%	12.77%	8.19%	—
Portfolio components:
GLD SPDR Gold Shares	-1.92%	-8.98%	8.35%	20.07%	49.92%	32.51%	21.53%	13.97%
DBC Invesco DB Commodity Index Tracking Fund	2.27%	12.20%	31.17%	35.29%	39.45%	11.56%	14.82%	10.42%
TIP iShares TIPS Bond ETF	0.41%	-0.40%	0.82%	0.71%	2.69%	3.06%	1.33%	2.52%
VTI Vanguard Total Stock Market ETF	0.16%	-3.97%	-3.13%	-1.30%	24.10%	18.10%	10.66%	13.75%
VTV Vanguard Value ETF	0.16%	-3.37%	3.71%	6.17%	20.60%	14.94%	10.95%	11.89%
VGK Vanguard FTSE Europe ETF	-0.48%	-3.44%	-0.00%	3.75%	23.35%	14.38%	8.89%	9.07%
EWJ iShares MSCI Japan ETF	-1.38%	-3.73%	5.64%	8.19%	36.37%	16.48%	6.84%	8.89%
EWU iShares MSCI United Kingdom ETF	-0.26%	-2.14%	5.12%	10.51%	28.99%	16.82%	12.21%	8.17%
EWL iShares MSCI Switzerland ETF	-0.92%	-5.77%	-1.68%	4.04%	16.83%	11.29%	7.69%	9.38%
VWO Vanguard FTSE Emerging Markets ETF	-0.72%	-3.17%	0.11%	0.16%	23.95%	13.41%	3.75%	7.73%

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

Monthly Returns

Based on dividend-adjusted daily data since May 9, 2019, Ray Dalio Portfolio 1's average daily return is +0.02%, while the average monthly return is +0.74%. At this rate, your investment would double in approximately 7.8 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2022 with a return of +6.0%, while the worst month was Mar 2020 at -6.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Ray Dalio Portfolio 1 closed higher 38% of trading days. The best single day was Mar 24, 2020 with a return of +3.7%, while the worst single day was Mar 12, 2020 at -4.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.29%	3.14%	-3.50%	0.38%									4.19%
2025	2.86%	1.14%	1.35%	1.19%	1.95%	2.26%	-0.31%	2.55%	3.05%	1.25%	1.19%	1.19%	21.49%
2024	-0.32%	1.24%	3.06%	-0.71%	2.32%	0.08%	1.86%	1.47%	1.84%	-1.36%	-0.09%	-1.47%	8.07%
2023	4.15%	-2.82%	2.33%	1.08%	-2.15%	2.09%	2.64%	-1.82%	-2.06%	-0.52%	3.85%	2.38%	9.18%
2022	-1.04%	0.08%	0.83%	-2.72%	0.53%	-4.18%	1.57%	-2.80%	-5.33%	2.52%	6.02%	-0.98%	-5.86%
2021	-0.17%	1.11%	0.68%	2.74%	2.60%	-0.77%	0.59%	0.55%	-1.69%	2.30%	-2.30%	2.66%	8.47%

Benchmark Metrics

Ray Dalio Portfolio 1 has an annualized alpha of 3.98%, beta of 0.36, and R² of 0.65 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (44.55%) than losses (41.55%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.98% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.36 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 3.98%

Beta: 0.36

R²: 0.65

Upside Capture: 44.55%

Downside Capture: 41.55%

Expense Ratio

Ray Dalio Portfolio 1 has an expense ratio of 0.27%, 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.

Top 10 holdings

DBC

Invesco DB Commodity Index Tracking Fund

DBMF

iM DBi Managed Futures Strategy ETF

TAIL

Cambria Tail Risk ETF

EWU

iShares MSCI United Kingdom ETF

EWL

iShares MSCI Switzerland ETF

EWJ

iShares MSCI Japan ETF

GLD

SPDR Gold Shares

ISHG

iShares 1-3 Year International Treasury Bond ETF

TIP

iShares TIPS Bond ETF

SHV

iShares Short Treasury Bond ETF

Return for Risk

Risk / Return Rank

Ray Dalio Portfolio 1 ranks 92 for risk / return — in the top 92% 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.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.86	0.88	+1.98
Sortino ratio Return per unit of downside risk	4.11	1.37	+2.74
Omega ratio Gain probability vs. loss probability	1.60	1.21	+0.39
Calmar ratio Return relative to maximum drawdown	3.41	1.39	+2.02
Martin ratio Return relative to average drawdown	12.30	6.43	+5.87
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
GLD SPDR Gold Shares	78	1.77	2.19	1.32	2.57	9.28
DBC Invesco DB Commodity Index Tracking Fund	80	1.80	2.41	1.32	3.16	8.12
TIP iShares TIPS Bond ETF	34	0.80	1.11	1.14	1.16	3.36
VTI Vanguard Total Stock Market ETF	52	0.94	1.47	1.22	1.53	7.16
VTV Vanguard Value ETF	54	1.09	1.57	1.23	1.48	6.62
VGK Vanguard FTSE Europe ETF	62	1.23	1.76	1.25	1.82	6.86
EWJ iShares MSCI Japan ETF	71	1.40	2.01	1.28	2.27	8.26
EWU iShares MSCI United Kingdom ETF	79	1.67	2.20	1.33	2.42	10.57
EWL iShares MSCI Switzerland ETF	44	0.99	1.44	1.19	1.19	4.52
VWO Vanguard FTSE Emerging Markets ETF	61	1.22	1.74	1.25	1.78	6.68

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.

Ray Dalio Portfolio 1 Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 2.86
5-Year: 1.01
All Time: 0.99

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.99 to 1.69, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Ray Dalio Portfolio 1 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 Portfolio 1 provided a 2.48% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.48%	2.61%	2.97%	2.59%	2.05%	1.71%	1.08%	2.08%	1.97%	1.27%	1.32%	1.23%
Portfolio components:
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%
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%
TIP iShares TIPS Bond ETF	2.79%	3.46%	2.52%	2.73%	6.96%	4.28%	1.17%	1.75%	2.71%	2.07%	1.48%	0.34%
VTI Vanguard Total Stock Market ETF	1.16%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%
VTV Vanguard Value ETF	2.02%	2.05%	2.31%	2.46%	2.52%	2.15%	2.56%	2.50%	2.73%	2.29%	2.44%	2.60%
VGK Vanguard FTSE Europe ETF	2.97%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%
EWJ iShares MSCI Japan ETF	4.28%	4.52%	2.34%	2.03%	1.23%	2.08%	1.04%	2.03%	1.71%	1.25%	1.95%	1.27%
EWU iShares MSCI United Kingdom ETF	3.55%	3.73%	4.16%	4.14%	3.43%	4.35%	2.48%	4.13%	4.98%	3.91%	3.97%	4.11%
EWL iShares MSCI Switzerland ETF	1.74%	1.71%	2.21%	2.12%	2.04%	1.73%	1.45%	1.85%	2.56%	2.05%	2.75%	2.58%
VWO Vanguard FTSE Emerging Markets ETF	2.70%	2.79%	3.20%	3.52%	4.11%	2.63%	1.91%	3.23%	2.88%	2.30%	2.52%	3.26%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Ray Dalio Portfolio 1. 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 Portfolio 1 was 16.77%, occurring on Mar 18, 2020. Recovery took 126 trading sessions.

The current Ray Dalio Portfolio 1 drawdown is 3.14%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-16.77%	Jan 21, 2020	58	Mar 18, 2020	126	Jul 22, 2020	184
-13.74%	Nov 15, 2021	317	Sep 27, 2022	307	Jul 31, 2023	624
-6.3%	Mar 20, 2025	20	Apr 8, 2025	16	Apr 24, 2025	36
-5.48%	Mar 2, 2026	25	Mar 26, 2026	—	—	—
-5.22%	Aug 1, 2023	65	Oct 4, 2023	70	Dec 13, 2023	135

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 16 assets, with an effective number of assets of 12.59, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

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

	Benchmark	USD=X	SHV	DBMF	VGSH	TIP	DBC	GLD	ISHG	TAIL	EWJ	VWO	VTV	EWL	VTI	EWU	VGK	Portfolio
Benchmark	1.00	0.00	-0.02	0.18	-0.04	0.12	0.25	0.08	0.22	-0.68	0.67	0.66	0.82	0.64	0.99	0.67	0.76	0.73
USD=X	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SHV	-0.02	0.00	1.00	-0.03	0.32	0.18	-0.04	0.14	0.11	0.11	0.06	0.03	0.02	0.07	0.03	0.04	0.04	0.08
DBMF	0.18	0.00	-0.03	1.00	-0.17	-0.05	0.20	0.15	-0.08	-0.22	0.16	0.17	0.15	0.14	0.20	0.18	0.18	0.27
VGSH	-0.04	0.00	0.32	-0.17	1.00	0.58	-0.09	0.33	0.33	0.42	0.05	-0.02	-0.06	0.14	-0.03	0.01	0.02	0.13
TIP	0.12	0.00	0.18	-0.05	0.58	1.00	0.08	0.36	0.33	0.32	0.12	0.10	0.08	0.20	0.12	0.13	0.15	0.27
DBC	0.25	0.00	-0.04	0.20	-0.09	0.08	1.00	0.25	0.12	-0.23	0.19	0.29	0.26	0.15	0.24	0.32	0.26	0.48
GLD	0.08	0.00	0.14	0.15	0.33	0.36	0.25	1.00	0.41	0.11	0.17	0.23	0.09	0.23	0.10	0.21	0.20	0.48
ISHG	0.22	0.00	0.11	-0.08	0.33	0.33	0.12	0.41	1.00	0.04	0.32	0.35	0.20	0.40	0.22	0.39	0.44	0.49
TAIL	-0.68	0.00	0.11	-0.22	0.42	0.32	-0.23	0.11	0.04	1.00	-0.42	-0.42	-0.55	-0.32	-0.63	-0.44	-0.47	-0.38
EWJ	0.67	0.00	0.06	0.16	0.05	0.12	0.19	0.17	0.32	-0.42	1.00	0.57	0.56	0.55	0.64	0.61	0.67	0.67
VWO	0.66	0.00	0.03	0.17	-0.02	0.10	0.29	0.23	0.35	-0.42	0.57	1.00	0.51	0.54	0.63	0.63	0.69	0.74
VTV	0.82	0.00	0.02	0.15	-0.06	0.08	0.26	0.09	0.20	-0.55	0.56	0.51	1.00	0.58	0.78	0.68	0.67	0.64
EWL	0.64	0.00	0.07	0.14	0.14	0.20	0.15	0.23	0.40	-0.32	0.55	0.54	0.58	1.00	0.60	0.71	0.82	0.70
VTI	0.99	0.00	0.03	0.20	-0.03	0.12	0.24	0.10	0.22	-0.63	0.64	0.63	0.78	0.60	1.00	0.63	0.72	0.70
EWU	0.67	0.00	0.04	0.18	0.01	0.13	0.32	0.21	0.39	-0.44	0.61	0.63	0.68	0.71	0.63	1.00	0.86	0.78
VGK	0.76	0.00	0.04	0.18	0.02	0.15	0.26	0.20	0.44	-0.47	0.67	0.69	0.67	0.82	0.72	0.86	1.00	0.82
Portfolio	0.73	0.00	0.08	0.27	0.13	0.27	0.48	0.48	0.49	-0.38	0.67	0.74	0.64	0.70	0.70	0.78	0.82	1.00

The correlation results are calculated based on daily price changes starting from May 9, 2019

Ray Dalio Portfolio 1

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table