Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 40% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 30% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 15% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 7.50% |
GLD SPDR Gold Shares | Gold, Precious Metals | 7.50% |
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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 Every year.
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Returns By Period
As of Jun 20, 2026, the Ray Dalio All Weather Portfolio returned 5.32% Year-To-Date and 5.82% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -0.71% | 8.39% | 8.57% | 24.33% | 18.94% | 12.24% | 13.54% |
Portfolio Ray Dalio All Weather Portfolio | 0.55% | 0.06% | 5.32% | 5.14% | 14.68% | 9.25% | 3.64% | 5.82% |
| Portfolio components: | ||||||||
DBC Invesco DB Commodity Index Tracking Fund | -0.29% | -9.53% | 23.57% | 24.99% | 22.79% | 10.38% | 11.27% | 7.81% |
GLD SPDR Gold Shares | -0.38% | -6.45% | -2.32% | -2.98% | 24.83% | 28.69% | 18.61% | 12.13% |
IEF iShares 7-10 Year Treasury Bond ETF | 0.36% | 0.85% | -0.28% | -0.36% | 3.63% | 2.76% | -1.19% | 0.64% |
TLT iShares 20+ Year Treasury Bond ETF | 0.49% | 2.85% | 1.41% | 0.96% | 4.88% | -1.45% | -6.76% | -1.56% |
VTI Vanguard Total Stock Market ETF | 1.16% | 0.87% | 10.70% | 10.70% | 27.58% | 20.67% | 12.86% | 15.07% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 6, 2006, Ray Dalio All Weather Portfolio's average daily return is +0.03%, while the average monthly return is +0.58%. At this rate, an investment would double in approximately 10.0 years.
Historically, 64% of months were positive and 36% were negative. The best month was Dec 2008 with a return of +9.1%, while the worst month was Oct 2008 at -8.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Ray Dalio All Weather Portfolio closed higher 55% of trading days. The best single day was Nov 10, 2022 with a return of +3.7%, while the worst single day was Mar 18, 2020 at -4.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.04% | 2.96% | -3.21% | 3.17% | 1.14% | -0.75% | 5.32% | ||||||
| 2025 | 1.92% | 2.24% | -1.23% | -0.79% | 0.35% | 3.16% | 0.31% | 1.33% | 3.70% | 1.77% | 0.93% | -0.87% | 13.45% |
| 2024 | -0.56% | 0.34% | 2.43% | -3.92% | 2.96% | 1.82% | 2.60% | 1.70% | 2.09% | -2.28% | 2.67% | -3.67% | 6.00% |
| 2023 | 6.16% | -3.89% | 3.89% | 0.60% | -1.83% | 2.02% | 0.86% | -2.06% | -5.28% | -2.73% | 7.37% | 5.35% | 9.95% |
| 2022 | -3.24% | -0.41% | -0.91% | -6.48% | -0.57% | -3.97% | 3.49% | -3.75% | -7.41% | 0.35% | 5.45% | -3.06% | -19.33% |
| 2021 | -1.71% | -1.31% | -1.30% | 3.67% | 1.11% | 2.33% | 2.49% | 0.62% | -2.53% | 3.74% | -0.31% | 1.37% | 8.22% |
Benchmark Metrics
Ray Dalio All Weather Portfolio has an annualized alpha of 5.10%, beta of 0.19, and R2 of 0.20 versus S&P 500 Index. Calculated based on daily prices since February 06, 2006.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (36.52%) than losses (26.77%) - typical of diversified or defensive assets.
- Beta of 0.19 may look defensive, but with R2 of 0.20 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.20 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.10%
- Beta
- 0.19
- R²
- 0.20
- Upside Capture
- 36.52%
- Downside Capture
- 26.77%
Expense Ratio
Ray Dalio All Weather Portfolio has an expense ratio of 0.19%, 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.
Return for Risk
Risk / Return Rank
Ray Dalio All Weather Portfolio ranks 47 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Ray Dalio All Weather Portfolio 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 | 2.05 | 1.94 | +0.11 |
| Sortino ratioReturn per unit of downside risk | 2.85 | 2.65 | +0.20 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.35 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.12 | 2.66 | +0.47 |
| Martin ratioReturn relative to average drawdown | 12.37 | 11.86 | +0.50 |
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 |
|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 36 | 1.26 | 1.75 | 1.23 | 1.84 | 6.05 |
GLD SPDR Gold Shares | 24 | 0.91 | 1.27 | 1.19 | 1.02 | 2.80 |
IEF iShares 7-10 Year Treasury Bond ETF | 21 | 0.79 | 1.19 | 1.13 | 0.91 | 2.50 |
TLT iShares 20+ Year Treasury Bond ETF | 15 | 0.50 | 0.79 | 1.09 | 0.62 | 1.48 |
VTI Vanguard Total Stock Market ETF | 68 | 2.15 | 2.91 | 1.39 | 3.07 | 13.75 |
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Dividends
Dividend yield
Ray Dalio All Weather Portfolio provided a 2.90% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.90% | 2.92% | 3.03% | 2.59% | 1.90% | 1.09% | 1.19% | 1.87% | 2.10% | 1.76% | 1.89% | 1.92% |
| Portfolio components: | ||||||||||||
DBC Invesco DB Commodity Index Tracking Fund | 2.69% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
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% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.89% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
TLT iShares 20+ Year Treasury Bond ETF | 4.51% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VTI Vanguard Total Stock Market ETF | 1.02% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 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 23.77%, occurring on Oct 20, 2022. Recovery took 704 trading sessions.
The current Ray Dalio All Weather Portfolio drawdown is 1.09%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -23.77%Oct 2022 | 11mo 14d | 2y 9mo | 3y 9moNov 2021 - Aug 2025 |
Financial crisis2007–2009 | -14.46%Nov 2008 | 5mo 25d | 1mo 6d | 7mo 1dMay 2008 - Dec 2008 |
COVID crash2020 | -13.99%Mar 2020 | 9d | 2mo 24d | 3mo 3dMar 2020 - Jun 2020 |
Financial crisis2007–2009 | -13.63%Mar 2009 | 2mo 8d | 6mo 11d | 8mo 19dDec 2008 - Sep 2009 |
2016 pullback2016 | -8.44%Jan 2016 | 11mo 12d | 4mo 23d | 1y 4moFeb 2015 - Jun 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a macro mix with a very large long-duration Treasury sleeve, plus equity, gold, and broad commodities. It is betting less on any one asset class than on the idea that stocks, inflation hedges, and bonds will not all fail at once, which is a respectable thesis when the bond sleeve is this large.
The numbers
- The diversification ratio is 1.88 on inception and 1.69 over 10Y, both in the 95th+ percentile on the platform; that is real diversification, not decorative diversification.
- The 1Y DR is 1.65 and still 78th percentile, so recent correlations have tightened some, but the portfolio still keeps useful internal offsets.
- Effective assets are 3.52 of 5, which is healthy; the only real concentration is structural, not count-based.
The good
- VTI (Large Cap Blend Equities) sits opposite government bonds: VTI vs IEF at -0.26 and VTI vs TLT at -0.25. That is the classic ballast that makes the rest of the mix possible.
- Gold and commodities are not pretending to be the same thing. GLD and DBC only correlate 0.34, so the inflation hedge is at least split across two different mechanisms.
- The portfolio’s cluster structure is clean: IEF and TLT form one block, while VTI, DBC, and GLD stand mostly apart.
The bad
- IEF and TLT correlate 0.92, so the two largest bond positions are, in practice, one duration bet with different labels.
- TLT at 40% and IEF at 15% make the portfolio very sensitive to the term structure of rates; the diversification benefit is real, but it is doing a lot of work for one macro view.
- TLT is also the highest portfolio-correlated sleeve at 0.63, which is a polite way of saying the portfolio’s center of gravity is still long-duration government bonds.
The ugly
- If inflation re-accelerates alongside higher real yields, the portfolio’s bond block and its equity block can weaken together, leaving the low-correlated sleeves to do most of the carrying.
- If rates move sharply upward, the 0.92 IEF/TLT pairing stops looking like diversification and starts looking like one trade split into two line items.
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.52, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.65 | 1.53 | 1.54 | 1.69 | 1.88 |
The portfolio has a diversification ratio of 1.88, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Ray Dalio All Weather Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.67 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Feb 6, 2006 | 0.42 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while IEF has the lowest at -0.26.
Asset Correlations Table
Find what Ray Dalio All Weather Portfolio is missing
See which holdings overlap, where Ray Dalio All Weather Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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