Ray Dalio - 15 Uncorrelated Returns

Asset Allocation

Position	Category/Sector	Target Weight
BMY Bristol-Myers Squibb Company	Healthcare	6.67%
BRK-B Berkshire Hathaway Inc.	Financial Services	6.67%
C Citigroup Inc.	Financial Services	6.67%
CVX Chevron Corporation	Energy	6.67%
GM General Motors Company	Consumer Cyclical	6.67%
JNJ Johnson & Johnson	Healthcare	6.67%
KR The Kroger Co.	Consumer Defensive	6.67%
LMT Lockheed Martin Corporation	Industrials	6.67%
LUMN Lumen Technologies, Inc.	Communication Services	6.67%
MMM 3M Company	Industrials	6.67%
MO Altria Group, Inc.	Consumer Defensive	6.67%
PFE Pfizer Inc.	Healthcare	6.67%
T AT&T Inc.	Communication Services	6.67%
VLO Valero Energy Corporation	Energy	6.67%
VUG Vanguard Growth ETF	Large Cap Growth Equities	6.67%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Ray Dalio - 15 Uncorrelated Returns, 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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The earliest data available for this chart is Aug 13, 2012, corresponding to the inception date of PFE

Returns By Period

As of Apr 4, 2026, the Ray Dalio - 15 Uncorrelated Returns returned 10.86% Year-To-Date and 11.47% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.44%	-1.90%	-3.41%	-1.91%	30.31%	17.22%	10.14%	12.44%
Portfolio Ray Dalio - 15 Uncorrelated Returns	0.09%	0.48%	10.86%	16.46%	44.67%	22.47%	13.85%	11.47%
Portfolio components:
BMY Bristol-Myers Squibb Company	-0.45%	-0.58%	12.44%	34.36%	12.65%	-1.23%	3.17%	2.42%
PFE Pfizer Inc.	-1.73%	2.88%	13.64%	8.95%	29.95%	-7.03%	-0.10%	3.41%
CVX Chevron Corporation	-0.06%	4.70%	31.75%	31.83%	45.04%	10.43%	18.64%	12.18%
BRK-B Berkshire Hathaway Inc.	-0.20%	-4.53%	-5.23%	-4.73%	-3.48%	15.09%	12.56%	12.94%
MMM 3M Company	0.02%	-5.81%	-9.34%	-6.51%	15.96%	23.55%	1.21%	3.70%
JNJ Johnson & Johnson	-0.85%	0.24%	17.06%	29.56%	61.63%	16.85%	11.14%	11.26%
GM General Motors Company	1.23%	-2.37%	-9.49%	26.74%	67.90%	29.87%	4.63%	11.89%
LUMN Lumen Technologies, Inc.	-5.15%	0.15%	-14.67%	-7.40%	102.75%	39.73%	-11.04%	-9.21%
MO Altria Group, Inc.	1.20%	1.74%	17.35%	5.41%	27.04%	23.72%	13.94%	7.44%
T AT&T Inc.	-0.04%	-1.12%	15.34%	11.94%	10.95%	18.82%	10.35%	5.63%

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

Monthly Returns

Based on dividend-adjusted daily data since Aug 14, 2012, Ray Dalio - 15 Uncorrelated Returns's average daily return is +0.06%, while the average monthly return is +1.14%. At this rate, your investment would double in approximately 5.1 years.

Historically, 64% of months were positive and 36% were negative. The best month was Oct 2022 with a return of +14.0%, while the worst month was Mar 2020 at -12.7%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Ray Dalio - 15 Uncorrelated Returns closed higher 54% of trading days. The best single day was Mar 13, 2020 with a return of +8.6%, while the worst single day was Mar 12, 2020 at -9.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	6.70%	3.87%	0.37%	-0.34%									10.86%
2025	3.42%	3.02%	-1.07%	-4.52%	2.80%	2.57%	1.30%	6.43%	3.43%	3.43%	1.28%	0.12%	24.10%
2024	-1.19%	3.91%	7.34%	-4.48%	2.84%	-0.08%	13.55%	8.39%	5.05%	-1.25%	6.85%	-8.31%	35.33%
2023	2.33%	-5.36%	0.15%	-1.98%	-5.10%	5.61%	1.29%	-2.86%	-2.85%	-4.21%	4.80%	4.41%	-4.54%
2022	1.46%	-1.60%	6.82%	-2.42%	5.86%	-10.07%	3.02%	-3.01%	-8.60%	14.03%	2.99%	-4.65%	1.29%
2021	2.92%	4.43%	7.52%	1.11%	3.79%	-1.17%	-0.98%	1.07%	-3.58%	1.82%	-0.45%	6.46%	24.80%

Benchmark Metrics

Ray Dalio - 15 Uncorrelated Returns has an annualized alpha of 3.83%, beta of 0.79, and R² of 0.69 versus S&P 500 Index. Calculated based on daily prices since August 14, 2012.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (97.53%) than losses (89.79%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.83% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 3.83%

Beta: 0.79

R²: 0.69

Upside Capture: 97.53%

Downside Capture: 89.79%

Expense Ratio

Ray Dalio - 15 Uncorrelated Returns has an expense ratio of 0.00%, 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.

VUG

Vanguard Growth ETF

Return for Risk

Risk / Return Rank

Ray Dalio - 15 Uncorrelated Returns ranks 88 for risk / return — in the top 88% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	3.54	1.84	+1.70
Sortino ratio Return per unit of downside risk	5.30	2.97	+2.33
Omega ratio Gain probability vs. loss probability	1.70	1.40	+0.30
Calmar ratio Return relative to maximum drawdown	4.30	1.82	+2.47
Martin ratio Return relative to average drawdown	21.17	7.76	+13.41
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
BMY Bristol-Myers Squibb Company	48	0.45	0.82	1.10	0.24	0.40
PFE Pfizer Inc.	72	1.16	1.77	1.22	1.82	3.91
CVX Chevron Corporation	81	1.96	2.57	1.35	1.73	4.19
BRK-B Berkshire Hathaway Inc.	21	-0.21	-0.17	0.98	-0.76	-1.30
MMM 3M Company	48	0.55	1.04	1.12	-0.02	-0.07
JNJ Johnson & Johnson	97	3.72	5.23	1.67	7.06	23.54
GM General Motors Company	88	1.99	2.99	1.39	3.41	10.37
LUMN Lumen Technologies, Inc.	72	1.30	2.14	1.27	1.37	2.85
MO Altria Group, Inc.	73	1.33	1.77	1.26	1.51	3.90
T AT&T Inc.	50	0.52	0.87	1.11	0.24	0.56

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.

Ray Dalio - 15 Uncorrelated Returns Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 3.54
5-Year: 0.89
10-Year: 0.68
All Time: 0.83

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.99 to 1.69, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Ray Dalio - 15 Uncorrelated Returns 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 - 15 Uncorrelated Returns provided a 2.50% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.50%	2.85%	3.99%	3.51%	3.94%	3.53%	4.14%	3.41%	4.09%	3.20%	3.04%	3.04%
Portfolio components:
BMY Bristol-Myers Squibb Company	4.21%	4.60%	4.24%	4.44%	3.00%	2.36%	3.69%	2.55%	3.08%	2.55%	1.95%	2.17%
PFE Pfizer Inc.	6.18%	6.91%	6.33%	5.70%	3.12%	2.64%	3.92%	3.68%	3.12%	3.53%	3.69%	3.47%
CVX Chevron Corporation	3.47%	4.49%	4.50%	4.05%	3.16%	4.52%	6.11%	3.95%	4.12%	3.45%	3.64%	4.76%
BRK-B Berkshire Hathaway Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MMM 3M Company	2.06%	1.82%	16.27%	5.49%	4.97%	3.33%	3.36%	3.26%	2.86%	2.00%	2.49%	2.72%
JNJ Johnson & Johnson	2.16%	2.48%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%
GM General Motors Company	0.86%	0.70%	0.90%	1.00%	0.54%	0.00%	0.91%	4.15%	4.54%	3.71%	4.36%	4.06%
LUMN Lumen Technologies, Inc.	0.00%	0.00%	0.00%	0.00%	14.37%	7.97%	10.26%	7.57%	14.26%	12.95%	9.08%	8.59%
MO Altria Group, Inc.	6.31%	7.21%	7.65%	9.52%	8.05%	7.43%	8.29%	6.57%	6.07%	3.56%	3.48%	3.73%
T AT&T Inc.	3.92%	4.47%	4.87%	6.62%	6.66%	8.46%	7.23%	5.22%	7.01%	5.04%	4.51%	5.46%

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 - 15 Uncorrelated Returns. 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 - 15 Uncorrelated Returns was 35.19%, occurring on Mar 23, 2020. Recovery took 209 trading sessions.

The current Ray Dalio - 15 Uncorrelated Returns drawdown is 0.83%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-35.19%	Jan 23, 2020	42	Mar 23, 2020	209	Jan 20, 2021	251
-22.9%	Jun 8, 2022	350	Oct 27, 2023	186	Jul 26, 2024	536
-20.7%	Sep 24, 2018	64	Dec 24, 2018	246	Dec 16, 2019	310
-18.84%	Nov 12, 2024	100	Apr 8, 2025	106	Sep 10, 2025	206
-12.11%	Mar 24, 2015	108	Aug 25, 2015	45	Oct 28, 2015	153

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 15 assets, with an effective number of assets of 15.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	KR	LUMN	VLO	MO	LMT	BMY	PFE	T	JNJ	GM	CVX	VUG	C	MMM	BRK-B	Portfolio
Benchmark	1.00	0.23	0.41	0.40	0.33	0.40	0.38	0.42	0.38	0.42	0.55	0.47	0.94	0.65	0.60	0.67	0.76
KR	0.23	1.00	0.19	0.15	0.28	0.22	0.20	0.21	0.24	0.26	0.14	0.19	0.17	0.16	0.23	0.26	0.40
LUMN	0.41	0.19	1.00	0.23	0.25	0.20	0.19	0.22	0.39	0.21	0.34	0.26	0.33	0.35	0.36	0.33	0.59
VLO	0.40	0.15	0.23	1.00	0.20	0.24	0.21	0.21	0.23	0.17	0.32	0.56	0.31	0.41	0.34	0.37	0.57
MO	0.33	0.28	0.25	0.20	1.00	0.30	0.28	0.28	0.40	0.37	0.24	0.29	0.23	0.24	0.35	0.39	0.49
LMT	0.40	0.22	0.20	0.24	0.30	1.00	0.32	0.30	0.28	0.35	0.24	0.31	0.31	0.28	0.39	0.42	0.51
BMY	0.38	0.20	0.19	0.21	0.28	0.32	1.00	0.49	0.28	0.47	0.22	0.25	0.31	0.27	0.32	0.35	0.50
PFE	0.42	0.21	0.22	0.21	0.28	0.30	0.49	1.00	0.31	0.50	0.27	0.27	0.33	0.31	0.37	0.40	0.54
T	0.38	0.24	0.39	0.23	0.40	0.28	0.28	0.31	1.00	0.36	0.30	0.32	0.26	0.34	0.37	0.44	0.55
JNJ	0.42	0.26	0.21	0.17	0.37	0.35	0.47	0.50	0.36	1.00	0.21	0.27	0.32	0.25	0.41	0.45	0.52
GM	0.55	0.14	0.34	0.32	0.24	0.24	0.22	0.27	0.30	0.21	1.00	0.37	0.46	0.55	0.45	0.46	0.61
CVX	0.47	0.19	0.26	0.56	0.29	0.31	0.25	0.27	0.32	0.27	0.37	1.00	0.33	0.45	0.38	0.46	0.61
VUG	0.94	0.17	0.33	0.31	0.23	0.31	0.31	0.33	0.26	0.32	0.46	0.33	1.00	0.52	0.49	0.52	0.59
C	0.65	0.16	0.35	0.41	0.24	0.28	0.27	0.31	0.34	0.25	0.55	0.45	0.52	1.00	0.48	0.62	0.66
MMM	0.60	0.23	0.36	0.34	0.35	0.39	0.32	0.37	0.37	0.41	0.45	0.38	0.49	0.48	1.00	0.54	0.66
BRK-B	0.67	0.26	0.33	0.37	0.39	0.42	0.35	0.40	0.44	0.45	0.46	0.46	0.52	0.62	0.54	1.00	0.71
Portfolio	0.76	0.40	0.59	0.57	0.49	0.51	0.50	0.54	0.55	0.52	0.61	0.61	0.59	0.66	0.66	0.71	1.00

The correlation results are calculated based on daily price changes starting from Aug 14, 2012

Ray Dalio - 15 Uncorrelated Returns

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table