Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 7% |
GLD SPDR Gold Shares | Gold, Precious Metals | 5% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | High Yield Bonds | 20% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 10% |
SPY State Street SPDR S&P 500 ETF | S&P 500 | 58% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All-Weather Portfolio US, 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 3 months.
Loading graphics...
The earliest data available for this chart is Apr 11, 2007, corresponding to the inception date of HYG
Returns By Period
As of Apr 11, 2026, the All-Weather Portfolio US returned 2.76% Year-To-Date and 11.23% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 0.61% | -0.42% | 4.03% | 29.40% | 18.38% | 10.55% | 12.70% |
Portfolio All-Weather Portfolio US | -0.19% | 0.38% | 2.76% | 6.80% | 26.28% | 16.04% | 10.08% | 11.23% |
| Portfolio components: | ||||||||
IEF iShares 7-10 Year Treasury Bond ETF | -0.17% | -0.43% | 0.02% | 0.18% | 5.25% | 2.13% | -0.78% | 0.78% |
GLD SPDR Gold Shares | -0.18% | -8.21% | 10.30% | 18.42% | 49.52% | 32.89% | 21.77% | 13.80% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | -0.40% | 0.61% | 0.63% | 2.97% | 10.77% | 8.39% | 3.78% | 5.14% |
SPY State Street SPDR S&P 500 ETF | -0.07% | 0.74% | -0.09% | 4.64% | 31.01% | 19.89% | 12.07% | 14.53% |
DBC Invesco DB Commodity Index Tracking Fund | -0.73% | 1.32% | 27.46% | 33.48% | 42.80% | 10.32% | 14.31% | 9.46% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 12, 2007, All-Weather Portfolio US's average daily return is +0.04%, while the average monthly return is +0.74%. At this rate, an investment would double in approximately 7.8 years.
Historically, 66% of months were positive and 34% were negative. The best month was Oct 2011 with a return of +8.7%, while the worst month was Oct 2008 at -14.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, All-Weather Portfolio US closed higher 56% of trading days. The best single day was Oct 13, 2008 with a return of +10.7%, while the worst single day was Mar 16, 2020 at -7.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.21% | 0.43% | -2.62% | 2.81% | 2.76% | ||||||||
| 2025 | 2.43% | -0.16% | -2.72% | -0.71% | 3.96% | 3.86% | 1.48% | 1.75% | 3.02% | 1.74% | 0.69% | 0.20% | 16.45% |
| 2024 | 0.98% | 2.82% | 2.95% | -2.65% | 3.46% | 2.24% | 1.54% | 1.77% | 2.02% | -0.74% | 3.58% | -1.74% | 17.21% |
| 2023 | 5.09% | -2.74% | 3.32% | 1.04% | -0.62% | 4.13% | 2.79% | -1.07% | -3.50% | -1.42% | 6.66% | 3.55% | 17.96% |
| 2022 | -3.33% | -1.06% | 2.28% | -6.05% | 0.71% | -6.83% | 6.72% | -3.89% | -7.27% | 5.49% | 4.81% | -3.95% | -12.91% |
| 2021 | -0.70% | 1.76% | 2.56% | 4.02% | 1.10% | 1.54% | 1.85% | 1.70% | -2.78% | 4.42% | -1.26% | 3.74% | 19.20% |
Benchmark Metrics
All-Weather Portfolio US has an annualized alpha of 2.49%, beta of 0.65, and R² of 0.94 versus S&P 500 Index. Calculated based on daily prices since April 12, 2007.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (73.09%) than losses (70.76%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.49% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.65 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.49%
- Beta
- 0.65
- R²
- 0.94
- Upside Capture
- 73.09%
- Downside Capture
- 70.76%
Expense Ratio
All-Weather Portfolio US has an expense ratio of 0.25%, 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
All-Weather Portfolio US ranks 86 for risk / return — in the top 86% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.09 | 2.23 | +0.86 |
Sortino ratioReturn per unit of downside risk | 4.46 | 3.12 | +1.35 |
Omega ratioGain probability vs. loss probability | 1.61 | 1.42 | +0.19 |
Calmar ratioReturn relative to maximum drawdown | 6.06 | 4.05 | +2.01 |
Martin ratioReturn relative to average drawdown | 26.97 | 17.91 | +9.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | 20 | 1.05 | 1.55 | 1.18 | 1.33 | 3.81 |
GLD SPDR Gold Shares | 43 | 1.82 | 2.24 | 1.34 | 3.06 | 10.54 |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 83 | 2.64 | 4.10 | 1.56 | 5.08 | 22.06 |
SPY State Street SPDR S&P 500 ETF | 70 | 2.35 | 3.26 | 1.44 | 4.32 | 18.78 |
DBC Invesco DB Commodity Index Tracking Fund | 70 | 2.44 | 3.20 | 1.43 | 6.54 | 14.58 |
Loading graphics...
Dividends
Dividend yield
All-Weather Portfolio US provided a 2.36% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.36% | 2.37% | 2.63% | 2.60% | 2.26% | 1.59% | 1.97% | 2.33% | 2.61% | 2.25% | 2.41% | 2.57% |
| Portfolio components: | ||||||||||||
IEF iShares 7-10 Year Treasury Bond ETF | 3.84% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
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% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.84% | 5.71% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% |
SPY State Street SPDR S&P 500 ETF | 1.09% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
DBC Invesco DB Commodity Index Tracking Fund | 2.61% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
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.
Loading graphics...
Worst Drawdowns
The table below displays the maximum drawdowns of the All-Weather Portfolio US. 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 All-Weather Portfolio US was 40.55%, occurring on Mar 9, 2009. Recovery took 420 trading sessions.
The current All-Weather Portfolio US drawdown is 0.50%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -40.55% | May 20, 2008 | 202 | Mar 9, 2009 | 420 | Nov 4, 2010 | 622 |
| -25.37% | Feb 20, 2020 | 23 | Mar 23, 2020 | 92 | Aug 3, 2020 | 115 |
| -18.28% | Dec 28, 2021 | 192 | Sep 30, 2022 | 302 | Dec 13, 2023 | 494 |
| -13.25% | Oct 3, 2018 | 57 | Dec 24, 2018 | 59 | Mar 21, 2019 | 116 |
| -12.67% | May 2, 2011 | 108 | Oct 3, 2011 | 74 | Jan 19, 2012 | 182 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading graphics...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 2.54, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | GLD | IEF | DBC | HYG | SPY | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.06 | -0.28 | 0.33 | 0.65 | 0.99 | 0.96 |
| GLD | 0.06 | 1.00 | 0.23 | 0.33 | 0.10 | 0.06 | 0.19 |
| IEF | -0.28 | 0.23 | 1.00 | -0.18 | -0.05 | -0.28 | -0.19 |
| DBC | 0.33 | 0.33 | -0.18 | 1.00 | 0.31 | 0.33 | 0.45 |
| HYG | 0.65 | 0.10 | -0.05 | 0.31 | 1.00 | 0.66 | 0.74 |
| SPY | 0.99 | 0.06 | -0.28 | 0.33 | 0.66 | 1.00 | 0.97 |
| Portfolio | 0.96 | 0.19 | -0.19 | 0.45 | 0.74 | 0.97 | 1.00 |