PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Ray Dalio All Weather Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 40%IEF 15%DBC 7.5%GLD 7.5%VTI 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
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
15%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
40%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth 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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.65%
9.66%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC

Returns By Period

As of Dec 24, 2024, the Ray Dalio All Weather Portfolio returned 5.77% Year-To-Date and 4.85% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
25.25%0.08%9.66%25.65%13.17%11.11%
Ray Dalio All Weather Portfolio5.77%-1.69%1.65%6.05%3.65%4.85%
VTI
Vanguard Total Stock Market ETF
25.60%-0.53%10.84%25.91%14.22%12.55%
DBC
Invesco DB Commodity Index Tracking Fund
-0.01%-2.32%-5.79%-0.87%7.88%2.46%
GLD
SPDR Gold Trust
26.04%-3.55%11.75%26.64%11.30%7.71%
IEF
iShares 7-10 Year Treasury Bond ETF
-0.90%-0.87%-0.25%-0.69%-1.54%0.67%
TLT
iShares 20+ Year Treasury Bond ETF
-7.87%-2.48%-5.03%-7.49%-6.20%-1.00%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.56%0.34%2.43%-3.99%2.92%1.79%2.64%1.70%2.07%-2.48%2.57%5.77%
20236.16%-3.89%3.90%0.59%-1.87%2.02%0.81%-2.05%-5.22%-2.86%7.42%5.53%10.02%
2022-3.24%-0.41%-0.86%-6.88%-0.73%-3.79%3.87%-3.87%-7.56%0.07%5.64%-3.09%-19.65%
2021-1.71%-1.31%-1.34%3.52%1.09%2.32%2.59%0.52%-2.62%3.46%0.08%0.97%7.61%
20203.26%0.37%-1.47%4.76%1.86%1.37%4.83%0.36%-1.46%-2.42%4.65%1.92%19.19%
20193.57%0.69%2.79%0.35%0.78%3.50%0.45%4.61%-0.97%0.55%0.64%0.18%18.38%
20180.40%-2.87%0.89%-0.70%1.89%0.09%-0.01%1.63%-1.04%-3.70%0.80%0.28%-2.47%
20171.28%2.08%-0.50%1.04%1.08%0.31%0.84%1.95%-0.52%0.85%1.28%1.48%11.72%
20161.12%2.36%2.08%0.99%0.41%4.32%1.71%-0.68%-0.17%-2.87%-2.98%0.68%6.93%
20154.00%-1.54%-0.38%-0.77%-0.81%-2.34%1.09%-1.88%-0.09%2.34%-1.19%-1.28%-3.00%
20142.04%2.50%0.12%1.09%1.76%1.25%-0.99%3.38%-2.60%1.67%1.52%0.81%13.14%
20130.36%0.30%1.25%1.73%-3.03%-3.00%1.56%-1.03%1.04%1.94%-0.85%-0.41%-0.31%

Expense Ratio

Ray Dalio All Weather Portfolio has an expense ratio of 0.19%, 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.


Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Ray Dalio All Weather Portfolio is 10, meaning it’s performing worse than 90% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Ray Dalio All Weather Portfolio is 1010
Overall Rank
The Sharpe Ratio Rank of Ray Dalio All Weather Portfolio is 1010
Sharpe Ratio Rank
The Sortino Ratio Rank of Ray Dalio All Weather Portfolio is 99
Sortino Ratio Rank
The Omega Ratio Rank of Ray Dalio All Weather Portfolio is 99
Omega Ratio Rank
The Calmar Ratio Rank of Ray Dalio All Weather Portfolio is 77
Calmar Ratio Rank
The Martin Ratio Rank of Ray Dalio All Weather Portfolio is 1212
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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
The chart of Sharpe ratio for Ray Dalio All Weather Portfolio, currently valued at 0.70, compared to the broader market-6.00-4.00-2.000.002.004.000.702.07
The chart of Sortino ratio for Ray Dalio All Weather Portfolio, currently valued at 1.01, compared to the broader market-6.00-4.00-2.000.002.004.006.001.012.76
The chart of Omega ratio for Ray Dalio All Weather Portfolio, currently valued at 1.12, compared to the broader market0.400.600.801.001.201.401.601.801.121.39
The chart of Calmar ratio for Ray Dalio All Weather Portfolio, currently valued at 0.41, compared to the broader market0.002.004.006.008.0010.0012.000.413.05
The chart of Martin ratio for Ray Dalio All Weather Portfolio, currently valued at 3.29, compared to the broader market0.0010.0020.0030.0040.003.2913.27
Ray Dalio All Weather Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.052.741.383.0613.06
DBC
Invesco DB Commodity Index Tracking Fund
-0.08-0.011.00-0.02-0.21
GLD
SPDR Gold Trust
1.812.421.323.359.45
IEF
iShares 7-10 Year Treasury Bond ETF
-0.12-0.120.99-0.04-0.27
TLT
iShares 20+ Year Treasury Bond ETF
-0.55-0.680.92-0.18-1.17

The current Ray Dalio All Weather Portfolio Sharpe ratio is 0.70. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.33 to 2.19, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Ray Dalio All Weather Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.70
2.07
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ray Dalio All Weather Portfolio provided a 3.04% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio3.04%2.59%1.91%1.09%1.19%1.87%2.10%1.76%1.89%1.92%1.90%2.09%
VTI
Vanguard Total Stock Market ETF
1.25%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
DBC
Invesco DB Commodity Index Tracking Fund
5.33%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
3.63%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
TLT
iShares 20+ Year Treasury Bond ETF
4.29%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.38%
-1.91%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

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 24.28%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Ray Dalio All Weather Portfolio drawdown is 7.38%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.28%Nov 10, 2021238Oct 20, 2022
-15.56%May 21, 2008123Nov 12, 2008226Oct 7, 2009349
-13.99%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-8.23%Feb 3, 2015237Jan 11, 201684May 11, 2016321
-7.37%May 3, 201337Jun 25, 2013170Feb 27, 2014207

Volatility

Volatility Chart

The current Ray Dalio All Weather Portfolio volatility is 2.86%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.86%
3.82%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

GLDVTIDBCTLTIEF
GLD1.000.070.350.190.23
VTI0.071.000.34-0.28-0.28
DBC0.350.341.00-0.19-0.17
TLT0.19-0.28-0.191.000.92
IEF0.23-0.28-0.170.921.00
The correlation results are calculated based on daily price changes starting from Feb 6, 2006
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab