Ray Dalio All Weather Portfolio

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%

Benchmark: S&P 500 Index · Rebalance: Every year

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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 Every year.

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Benchmark

Compare your portfolio against anything

Returns By Period

As of Aug 2, 2026, the Ray Dalio All Weather Portfolio returned 3.43% Year-To-Date and 5.38% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	0.70%	0.09%	7.94%	9.41%	20.07%	17.84%	11.25%	13.26%	8.09%
Portfolio Ray Dalio All Weather Portfolio	-0.18%	-0.89%	1.36%	3.43%	10.37%	8.61%	2.55%	5.38%	6.72%
Portfolio components:
DBC Invesco DB Commodity Index Tracking Fund	0.44%	10.84%	20.55%	31.71%	37.81%	11.07%	11.66%	9.54%	2.04%
GLD SPDR Gold Shares	-1.49%	-1.74%	-16.50%	-6.25%	20.20%	27.22%	16.95%	11.05%	10.28%
IEF iShares 7-10 Year Treasury Bond ETF	-0.28%	-1.24%	-1.22%	-1.44%	0.62%	2.88%	-1.80%	0.40%	3.34%
TLT iShares 20+ Year Treasury Bond ETF	-0.66%	-3.81%	-3.46%	-3.49%	-2.45%	-1.80%	-8.18%	-2.38%	3.47%
VTI Vanguard Total Stock Market ETF	0.53%	-0.15%	8.77%	10.49%	21.84%	18.92%	11.74%	14.63%	9.58%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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 +0.57%. At this rate, an investment would double in approximately 10.2 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%	-1.40%	-1.14%						3.43%
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 4.96%, 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 (27.38%) - 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: 4.96%

Beta: 0.19

R²: 0.20

Upside Capture: 36.52%

Downside Capture: 27.38%

See how alpha, beta & R² have trended over time →

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.

DBC

Invesco DB Commodity Index Tracking Fund

GLD

SPDR Gold Shares

IEF

iShares 7-10 Year Treasury Bond ETF

TLT

iShares 20+ Year Treasury Bond ETF

VTI

Vanguard Total Stock Market ETF

Return for Risk

Risk / Return Rank

Ray Dalio All Weather Portfolio ranks 42 for risk / return — above 42% of Portfolios peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

Risk / Return 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	1.49	1.42	+0.08
Sortino ratioReturn per unit of downside risk	2.08	1.98	+0.10
Omega ratioGain probability vs. loss probability	1.27	1.25	+0.02
Calmar ratioReturn relative to maximum drawdown	2.28	2.00	+0.28
Martin ratioReturn relative to average drawdown	7.74	8.49	-0.76

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	69	1.83	2.44	1.31	2.16	7.20
GLD SPDR Gold Shares	30	0.81	1.16	1.17	0.86	1.86
IEF iShares 7-10 Year Treasury Bond ETF	18	0.38	0.59	1.07	0.44	1.01
TLT iShares 20+ Year Treasury Bond ETF	9	-0.11	-0.10	0.99	-0.14	-0.30
VTI Vanguard Total Stock Market ETF	66	1.52	2.12	1.27	2.23	9.62

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Ray Dalio All Weather Portfolio Sharpe ratio is 1.49 as of Aug 2, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.18 to 2.00, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Ray Dalio All Weather Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Ray Dalio All Weather Portfolio provided a 2.79% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.79%	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	2.53%	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	3.62%	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	4.34%	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	1.06%	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 2.86%.

Drawdown	Fall	Recovery	Underwater	Related event
-23.77%Oct 2022	11mo 14d	2y 9mo	3y 9moNov 2021 - Aug 2025	Bear market2022
-14.46%Nov 2008	5mo 25d	1mo 6d	7mo 1dMay 2008 - Dec 2008	Financial crisis2007–2009
-13.99%Mar 2020	9d	2mo 24d	3mo 3dMar 2020 - Jun 2020	COVID crash2020
-13.63%Mar 2009	2mo 8d	6mo 11d	8mo 19dDec 2008 - Sep 2009	Financial crisis2007–2009
-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 allocation in disguise: U.S. equities (VTI), commodities (DBC), gold (GLD), and a very large government-bond sleeve split between intermediate and long duration. It is betting on regime diversification more than on any one asset, though the bond sleeve is doing a lot of the work.

The numbers

The diversification ratio is 1.88 on inception data, 95.6th percentile, which is genuinely strong; the recent 1Y DR of 1.66 is still good, but less heroic.
Effective asset count is 3.52 out of 5, so the weights are not a charade, but the IEF (iShares 7-10 Year Treasury Bond ETF) and TLT (iShares 20+ Year Treasury Bond ETF) pair behaves like one bond factor.
Correlations are mostly low, with a mean of 0.12 and a floor of -0.25 between VTI and both Treasury sleeves, which is where the portfolio gets its ballast.

The good

The portfolio has three genuinely different economic engines: growth equities, real assets, and duration. That is a clean structure, and the math notices.
DBC and GLD are not redundant with the equity sleeve; they behave like separate shock absorbers, not decorative accessories.

The bad

IEF and TLT are tightly linked at 0.92, so the bond sleeve is more concentrated than the ticker count suggests.
The heaviest weight sits in TLT at 40%, which makes the portfolio quite sensitive to one very specific trade: duration.

The ugly

If inflation resurfaces while term premia rise, the usual bond hedge can stop hedging at the same time the portfolio leans on it most.

Next steps

Portfolios with this correlation profile are often smoother when the bond sleeve is spread across more distinct rate exposures rather than two very similar Treasury buckets.
The current structure is already a coherent multi-asset bet; the main fragility is not concentration by count, but concentration inside the rate-sensitive part of the portfolio.

AI-generated analysis. Not investment advice. Verify key facts independently.

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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	1.66	1.55	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

Ray Dalio All Weather Portfolio has a 0.71 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.71
Correlation (3Y) Balances recent behavior with more history.	0.62
Correlation (5Y) Shows whether the relationship held over a longer period.	0.59
Correlation (10Y) Provides a long-term view across more market conditions.	0.51
Correlation (All Time) Calculated using the full available price history since Feb 6, 2006	0.42