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 |
|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 40% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 15% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 7.5% |
GLD SPDR Gold Trust | Precious Metals, Gold | 7.5% |
VTI Vanguard Total Stock Market ETF | Large Cap Growth Equities | 30% |
Performance
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
As of Nov 28, 2023, the Ray Dalio All Weather Portfolio returned 3.87% Year-To-Date and 4.91% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Ray Dalio All Weather Portfolio | 3.87% | 6.85% | -0.20% | 1.37% | 5.04% | 4.91% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 19.09% | 10.82% | 8.84% | 13.52% | 11.75% | 11.13% |
DBC Invesco DB Commodity Index Tracking Fund | -3.20% | -4.56% | 4.51% | -3.05% | 10.15% | -0.32% |
GLD SPDR Gold Trust | 10.10% | 0.33% | 3.23% | 14.43% | 10.15% | 4.47% |
IEF iShares 7-10 Year Treasury Bond ETF | -0.60% | 3.50% | -2.61% | -1.57% | 0.01% | 0.95% |
TLT iShares 20+ Year Treasury Bond ETF | -5.71% | 8.59% | -8.07% | -8.34% | -2.32% | 1.07% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.59% | -1.87% | 2.02% | 0.81% | -2.05% | -5.22% | -2.86% |
Dividend yield
Ray Dalio All Weather Portfolio granted a 2.34% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ray Dalio All Weather Portfolio | 2.34% | 1.90% | 1.09% | 1.19% | 1.87% | 2.10% | 1.76% | 1.89% | 1.92% | 1.90% | 2.09% | 1.98% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.48% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% | 2.13% |
DBC Invesco DB Commodity Index Tracking Fund | 0.61% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 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 | 2.86% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% | 1.79% |
TLT iShares 20+ Year Treasury Bond ETF | 3.56% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% | 2.68% |
Expense Ratio
The Ray Dalio All Weather Portfolio features an expense ratio of 0.19%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.93 | ||||
DBC Invesco DB Commodity Index Tracking Fund | -0.24 | ||||
GLD SPDR Gold Trust | 1.09 | ||||
IEF iShares 7-10 Year Treasury Bond ETF | -0.17 | ||||
TLT iShares 20+ Year Treasury Bond ETF | -0.46 |
Asset Correlations Table
| GLD | VTI | DBC | TLT | IEF | |
|---|---|---|---|---|---|
| GLD | 1.00 | 0.06 | 0.35 | 0.19 | 0.23 |
| VTI | 0.06 | 1.00 | 0.35 | -0.31 | -0.31 |
| DBC | 0.35 | 0.35 | 1.00 | -0.20 | -0.17 |
| TLT | 0.19 | -0.31 | -0.20 | 1.00 | 0.92 |
| IEF | 0.23 | -0.31 | -0.17 | 0.92 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.28% | Nov 10, 2021 | 238 | Oct 20, 2022 | — | — | — |
| -15.56% | May 21, 2008 | 123 | Nov 12, 2008 | 226 | Oct 7, 2009 | 349 |
| -13.99% | Mar 9, 2020 | 8 | Mar 18, 2020 | 29 | Apr 29, 2020 | 37 |
| -8.23% | Feb 3, 2015 | 237 | Jan 11, 2016 | 84 | May 11, 2016 | 321 |
| -7.37% | May 3, 2013 | 37 | Jun 25, 2013 | 170 | Feb 27, 2014 | 207 |
Volatility Chart
The current Ray Dalio All Weather Portfolio volatility is 3.58%, 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.