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Ray Dalio All Weather Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


TLT 40%IEF 15%DBC 7.5%GLD 7.5%VTI 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
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

7.50%

GLD
SPDR Gold Trust
Precious Metals, Gold

7.50%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

S&P 500

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.


0.50%1.00%1.50%2.00%0.85%
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.03%

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
GLD1.000.060.350.190.23
VTI0.061.000.35-0.30-0.30
DBC0.350.351.00-0.19-0.17
TLT0.19-0.30-0.191.000.92
IEF0.23-0.30-0.170.921.00

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


200.00%250.00%300.00%OctoberNovemberDecember2024FebruaryMarch
204.38%
304.82%
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 Mar 16, 2024, the Ray Dalio All Weather Portfolio returned 0.14% Year-To-Date and 5.07% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Ray Dalio All Weather Portfolio0.14%1.66%6.07%5.54%4.89%5.11%
VTI
Vanguard Total Stock Market ETF
6.95%2.11%15.69%32.05%13.74%12.01%
DBC
Invesco DB Commodity Index Tracking Fund
3.27%3.31%-6.43%5.29%8.62%-0.41%
GLD
SPDR Gold Trust
4.47%7.18%11.33%8.67%10.00%4.52%
IEF
iShares 7-10 Year Treasury Bond ETF
-2.35%0.17%2.14%-2.75%-0.62%1.08%
TLT
iShares 20+ Year Treasury Bond ETF
-5.41%0.51%1.35%-9.88%-3.26%0.91%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.56%0.34%
2023-2.05%-5.22%-2.86%7.42%5.53%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Ray Dalio All Weather Portfolio
0.63
VTI
Vanguard Total Stock Market ETF
2.65
DBC
Invesco DB Commodity Index Tracking Fund
0.37
GLD
SPDR Gold Trust
0.97
IEF
iShares 7-10 Year Treasury Bond ETF
-0.29
TLT
iShares 20+ Year Treasury Bond ETF
-0.53

Sharpe Ratio

The current Ray Dalio All Weather Portfolio Sharpe ratio is 0.63. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.63

The Sharpe ratio of Ray Dalio All Weather Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
0.63
2.64
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ray Dalio All Weather Portfolio granted a 2.70% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Ray Dalio All Weather Portfolio2.70%2.59%1.90%1.09%1.19%1.87%2.10%1.76%1.89%1.92%1.90%2.09%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%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
4.79%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
3.08%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
3.68%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.


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-12.31%
-1.12%
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 12.31%.


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 1.98%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
1.98%
3.36%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components
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