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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%

S&P 500

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%350.00%FebruaryMarchAprilMayJuneJuly
219.21%
341.80%
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 Jul 12, 2024, the Ray Dalio All Weather Portfolio returned 5.02% Year-To-Date and 5.19% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.08%3.89%16.83%24.87%13.16%10.96%
Ray Dalio All Weather Portfolio5.02%2.05%6.12%7.30%4.66%5.22%
VTI
Vanguard Total Stock Market ETF
16.25%3.01%16.30%23.94%14.10%12.37%
DBC
Invesco DB Commodity Index Tracking Fund
6.08%1.04%5.98%3.06%9.34%-0.08%
GLD
SPDR Gold Trust
16.78%3.97%17.68%22.66%10.85%6.03%
IEF
iShares 7-10 Year Treasury Bond ETF
-0.01%1.36%0.16%0.96%-0.94%1.08%
TLT
iShares 20+ Year Treasury Bond ETF
-3.51%1.42%-1.15%-4.59%-4.18%0.58%

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%5.02%
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%-2.61%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%18.37%
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%1.47%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%-3.04%-3.00%1.56%-1.03%1.04%1.94%-0.85%-0.41%-0.31%

Expense Ratio

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.


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, indicating that it is in the bottom 10% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Ray Dalio All Weather Portfolio is 1010
Ray Dalio All Weather Portfolio
The Sharpe Ratio Rank of Ray Dalio All Weather Portfolio is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of Ray Dalio All Weather Portfolio is 1010Sortino Ratio Rank
The Omega Ratio Rank of Ray Dalio All Weather Portfolio is 1010Omega Ratio Rank
The Calmar Ratio Rank of Ray Dalio All Weather Portfolio is 88Calmar Ratio Rank
The Martin Ratio Rank of Ray Dalio All Weather Portfolio is 1010Martin 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.


Ray Dalio All Weather Portfolio
Sharpe ratio
The chart of Sharpe ratio for Ray Dalio All Weather Portfolio, currently valued at 0.93, compared to the broader market-1.000.001.002.003.004.005.000.93
Sortino ratio
The chart of Sortino ratio for Ray Dalio All Weather Portfolio, currently valued at 1.38, compared to the broader market-2.000.002.004.006.001.38
Omega ratio
The chart of Omega ratio for Ray Dalio All Weather Portfolio, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for Ray Dalio All Weather Portfolio, currently valued at 0.41, compared to the broader market0.002.004.006.008.0010.000.41
Martin ratio
The chart of Martin ratio for Ray Dalio All Weather Portfolio, currently valued at 2.22, compared to the broader market0.0010.0020.0030.0040.002.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.005.002.31
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.002.004.006.008.0010.001.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.58, compared to the broader market0.0010.0020.0030.0040.008.58

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.263.171.401.858.16
DBC
Invesco DB Commodity Index Tracking Fund
0.400.641.080.110.88
GLD
SPDR Gold Trust
1.802.551.331.898.57
IEF
iShares 7-10 Year Treasury Bond ETF
0.350.551.060.120.82
TLT
iShares 20+ Year Treasury Bond ETF
-0.15-0.090.99-0.05-0.28

Sharpe Ratio

The current Ray Dalio All Weather Portfolio Sharpe ratio is 0.93. 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 1.58 to 2.50, 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.93
2.31
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ray Dalio All Weather Portfolio granted a 2.76% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Ray Dalio All Weather Portfolio2.76%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
1.34%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
4.66%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
3.27%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
3.80%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.


-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-8.04%
-0.88%
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 8.04%.


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 2.40%, 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%FebruaryMarchAprilMayJuneJuly
2.40%
2.07%
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
VTI0.071.000.35-0.29-0.29
DBC0.350.351.00-0.19-0.17
TLT0.19-0.29-0.191.000.92
IEF0.23-0.29-0.170.921.00
The correlation results are calculated based on daily price changes starting from Feb 6, 2006