Asset Allocation
Find the right asset allocation for Dalio HRP
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dalio HRP, 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 13, 2026, the Dalio HRP returned 3.69% Year-To-Date and 4.73% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Dalio HRP | 0.05% | -0.36% | 3.69% | 3.99% | 8.39% | 8.28% | 5.70% | 4.73% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.03% | 0.29% | 1.60% | 1.76% | 3.85% | 4.63% | 3.43% | 2.20% |
FFRHX Fidelity Floating Rate High Income Fund | -0.11% | -0.00% | 1.60% | 1.98% | 5.89% | 7.24% | 5.35% | 4.90% |
FTSL First Trust Senior Loan Fund | -0.04% | -0.10% | 0.51% | 0.66% | 4.27% | 7.06% | 4.95% | 4.44% |
GLD SPDR Gold Shares | 0.06% | -9.52% | -2.47% | -2.25% | 22.21% | 28.89% | 17.08% | 12.15% |
IVV iShares Core S&P 500 ETF | 0.55% | -0.85% | 9.08% | 9.43% | 25.77% | 20.95% | 13.42% | 15.47% |
LFRIX Lord Abbett Floating Rate Fund | 0.00% | 0.17% | 1.53% | 2.10% | 6.20% | 7.67% | 5.35% | 4.52% |
NFIAX Neuberger Berman Floating Rate Income Fund | 0.00% | 0.08% | 1.15% | 1.59% | 5.17% | 7.57% | 4.96% | 4.49% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | -1.04% | -8.28% | 28.75% | 30.02% | 30.88% | 12.43% | 10.98% | 7.99% |
PRFRX T. Rowe Price Floating Rate Fund | -0.11% | -0.10% | 0.83% | 2.01% | 7.80% | 9.76% | 6.95% | 5.46% |
VNQ Vanguard Real Estate ETF | 0.92% | 3.35% | 12.51% | 12.32% | 14.02% | 10.14% | 2.55% | 5.65% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 7, 2014, Dalio HRP's average daily return is +0.02%, while the average monthly return is +0.34%. At this rate, an investment would double in approximately 17.0 years.
Historically, 71% of months were positive and 29% were negative. The best month was Apr 2020 with a return of +2.4%, while the worst month was Mar 2020 at -5.1%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Dalio HRP closed higher 58% of trading days. The best single day was Mar 24, 2020 with a return of +1.3%, while the worst single day was Mar 16, 2020 at -2.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.42% | 0.77% | -0.01% | 1.71% | 0.23% | -0.48% | 3.69% | ||||||
| 2025 | 1.06% | 0.44% | 0.29% | -0.16% | 0.98% | 0.90% | 0.61% | 0.85% | 1.20% | 0.51% | 0.76% | 0.39% | 8.10% |
| 2024 | 0.21% | 0.77% | 1.31% | -0.01% | 1.04% | 0.47% | 1.03% | 0.82% | 0.98% | 0.54% | 0.76% | -0.22% | 7.97% |
| 2023 | 2.01% | -0.62% | 0.71% | 0.47% | -0.40% | 1.42% | 1.33% | 0.23% | -0.37% | 0.12% | 1.66% | 1.28% | 8.10% |
| 2022 | -0.34% | 0.21% | 1.08% | -0.47% | -0.77% | -1.82% | 1.17% | -0.32% | -2.15% | 1.15% | 1.57% | -0.33% | -1.09% |
| 2021 | 0.18% | 0.66% | 0.42% | 1.35% | 0.82% | 0.14% | 0.51% | 0.30% | -0.30% | 1.10% | -0.74% | 1.43% | 6.01% |
Benchmark Metrics
Dalio HRP has an annualized alpha of 2.54%, beta of 0.13, and R2 of 0.60 versus S&P 500 Index. Calculated based on daily prices since November 07, 2014.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (18.24%) than losses (12.83%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.54% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.13 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
- 2.54%
- Beta
- 0.13
- R²
- 0.60
- Upside Capture
- 18.24%
- Downside Capture
- 12.83%
Expense Ratio
Dalio HRP has an expense ratio of 0.33%, placing it in the medium range. 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
Dalio HRP ranks 96 for risk / return — in the top 96% 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
The table below presents risk-adjusted performance metrics for Dalio HRP 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 | 3.50 | 1.86 | +1.64 |
| Sortino ratioReturn per unit of downside risk | 4.93 | 2.53 | +2.39 |
| Omega ratioGain probability vs. loss probability | 1.77 | 1.34 | +0.43 |
| Calmar ratioReturn relative to maximum drawdown | 6.89 | 2.53 | +4.36 |
| Martin ratioReturn relative to average drawdown | 26.36 | 11.37 | +14.99 |
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 |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.63 | 175.17 | 88.41 | 357.44 | 2,834.34 |
FFRHX Fidelity Floating Rate High Income Fund | 93 | 2.45 | 5.83 | 1.86 | 4.87 | 17.02 |
FTSL First Trust Senior Loan Fund | 65 | 2.04 | 3.17 | 1.47 | 1.85 | 6.88 |
GLD SPDR Gold Shares | 26 | 0.87 | 1.24 | 1.18 | 0.98 | 2.81 |
IVV iShares Core S&P 500 ETF | 67 | 2.00 | 2.70 | 1.36 | 2.76 | 12.43 |
LFRIX Lord Abbett Floating Rate Fund | 92 | 2.50 | 5.72 | 1.97 | 3.92 | 14.80 |
NFIAX Neuberger Berman Floating Rate Income Fund | 92 | 2.32 | 5.86 | 1.92 | 4.75 | 16.22 |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 63 | 1.84 | 2.44 | 1.32 | 3.55 | 9.49 |
PRFRX T. Rowe Price Floating Rate Fund | 96 | 2.91 | 7.36 | 2.14 | 5.15 | 19.34 |
VNQ Vanguard Real Estate ETF | 31 | 0.96 | 1.39 | 1.17 | 1.56 | 4.90 |
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Dividends
Dividend yield
Dalio HRP provided a 4.32% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.32% | 4.62% | 5.27% | 5.19% | 2.70% | 3.59% | 1.42% | 2.70% | 2.50% | 1.86% | 1.72% | 1.33% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.86% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
FFRHX Fidelity Floating Rate High Income Fund | 7.10% | 7.41% | 6.94% | 8.24% | 3.81% | 2.74% | 3.84% | 5.15% | 4.74% | 4.05% | 4.44% | 3.69% |
FTSL First Trust Senior Loan Fund | 6.47% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
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% |
IVV iShares Core S&P 500 ETF | 1.08% | 1.17% | 1.30% | 1.44% | 1.66% | 1.20% | 1.57% | 1.85% | 2.21% | 1.75% | 2.01% | 2.27% |
LFRIX Lord Abbett Floating Rate Fund | 6.91% | 7.20% | 7.68% | 7.63% | 3.95% | 4.01% | 4.64% | 5.71% | 5.60% | 4.65% | 4.64% | 4.72% |
NFIAX Neuberger Berman Floating Rate Income Fund | 6.60% | 6.84% | 8.05% | 6.89% | 3.97% | 3.36% | 3.68% | 4.71% | 4.32% | 3.44% | 3.46% | 4.05% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 2.98% | 3.84% | 4.42% | 4.21% | 13.05% | 50.83% | 0.01% | 1.40% | 1.00% | 3.83% | 6.51% | 0.00% |
PRFRX T. Rowe Price Floating Rate Fund | 9.26% | 9.99% | 10.20% | 9.57% | 4.03% | 3.86% | 4.00% | 4.84% | 4.87% | 4.04% | 4.07% | 4.07% |
VNQ Vanguard Real Estate ETF | 3.54% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
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 Dalio HRP. 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 Dalio HRP was 10.61%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
The current Dalio HRP drawdown is 0.75%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -10.61%Mar 2020 | 28d | 5mo 8d | 6mo 6dFeb 2020 - Aug 2020 |
Bear market2022 | -4.86%Sep 2022 | 5mo 12d | 6mo 15d | 11mo 27dApr 2022 - Apr 2023 |
2016 pullback2016 | -4.18%Jan 2016 | 8mo 7d | 4mo 15d | 1y 17dMay 2015 - Jun 2016 |
Rate-hike selloffLate 2018 | -2.94%Dec 2018 | 2mo 22d | 1mo 13d | 4mo 5dOct 2018 - Feb 2019 |
2025 selloff2025 | -2.43%Apr 2025 | 5d | 27d | 1mo 2dApr 2025 - May 2025 |
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 10 assets, with an effective number of assets of 3.08, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.86 | 1.74 | 1.65 | 1.59 | 1.61 |
The portfolio has a diversification ratio of 1.61, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Dalio HRP correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.67 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Nov 7, 2014 | 0.68 |
Benchmark Correlations
Correlation vs. S&P 500 Index. IVV has the highest benchmark correlation at 1.00, while BIL has the lowest at 0.00.
Asset Correlations Table
| BIL | GLD | PDBC | FTSL | VNQ | NFIAX | PRFRX | LFRIX | FFRHX | IVV | |
|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.04 | -0.02 | 0.02 | -0.02 | 0.00 | -0.03 | -0.00 | -0.01 | 0.00 |
| GLD | 0.04 | 1.00 | 0.22 | 0.07 | 0.12 | 0.01 | 0.03 | -0.02 | 0.01 | 0.03 |
| PDBC | -0.02 | 0.22 | 1.00 | 0.15 | 0.11 | 0.15 | 0.14 | 0.16 | 0.21 | 0.25 |
| FTSL | 0.02 | 0.07 | 0.15 | 1.00 | 0.28 | 0.32 | 0.33 | 0.34 | 0.36 | 0.40 |
| VNQ | -0.02 | 0.12 | 0.11 | 0.28 | 1.00 | 0.16 | 0.20 | 0.18 | 0.20 | 0.58 |
| NFIAX | 0.00 | 0.01 | 0.15 | 0.32 | 0.16 | 1.00 | 0.68 | 0.71 | 0.71 | 0.23 |
| PRFRX | -0.03 | 0.03 | 0.14 | 0.33 | 0.20 | 0.68 | 1.00 | 0.68 | 0.67 | 0.25 |
| LFRIX | -0.00 | -0.02 | 0.16 | 0.34 | 0.18 | 0.71 | 0.68 | 1.00 | 0.71 | 0.28 |
| FFRHX | -0.01 | 0.01 | 0.21 | 0.36 | 0.20 | 0.71 | 0.67 | 0.71 | 1.00 | 0.29 |
| IVV | 0.00 | 0.03 | 0.25 | 0.40 | 0.58 | 0.23 | 0.25 | 0.28 | 0.29 | 1.00 |
Find what Dalio HRP is missing
See which holdings overlap, where Dalio HRP is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification