Ray Dalio - 15 Uncorrelated Returns
15 good uncorrelated returns for balance safety and to maintain an average return (typically ~7.5% per Ray) but reduce risk up to 80%. Risk balance these, not necessarily dollar balance them. Based on general themes of value investing (good balance sheets) in both US and World, but an avoidance of US treasury debt.
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% |
Performance
Performance Chart
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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 Jun 2, 2025, the Ray Dalio - 15 Uncorrelated Returns returned 3.45% Year-To-Date and 9.26% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.92% | 4.38% | -1.84% | 12.48% | 13.71% | 10.99% |
| Ray Dalio - 15 Uncorrelated Returns | 3.21% | 1.41% | -4.18% | 29.00% | 12.82% | 9.23% |
| Portfolio components: | ||||||
BMY Bristol-Myers Squibb Company | -11.84% | -3.52% | -16.81% | 24.58% | -0.55% | 0.16% |
PFE Pfizer Inc. | -8.40% | -1.21% | -5.88% | -12.67% | -2.97% | 0.92% |
CVX Chevron Corporation | -2.61% | 0.74% | -13.03% | -11.21% | 12.05% | 7.63% |
BRK-B Berkshire Hathaway Inc. | 10.93% | -6.85% | 5.34% | 21.33% | 21.38% | 13.58% |
MMM 3M Company | 14.53% | 3.55% | 11.25% | 49.22% | 5.67% | 4.53% |
JNJ Johnson & Johnson | 9.24% | 0.39% | 2.06% | 9.40% | 3.80% | 7.61% |
GM General Motors Company | -10.25% | 5.28% | -12.94% | 7.06% | 11.03% | 5.64% |
LUMN Lumen Technologies, Inc. | -27.50% | 1.85% | -44.92% | 198.45% | -15.20% | -13.60% |
MO Altria Group, Inc. | 18.04% | 1.71% | 10.04% | 41.76% | 17.60% | 9.16% |
T AT&T Inc. | 25.57% | 1.16% | 25.95% | 61.32% | 11.02% | 8.27% |
C Citigroup Inc. | 9.30% | 8.24% | 7.77% | 25.77% | 11.40% | 5.97% |
LMT Lockheed Martin Corporation | -0.05% | 1.97% | -6.66% | 5.19% | 6.38% | 12.69% |
KR The Kroger Co. | 12.62% | -4.85% | 14.49% | 33.02% | 22.63% | 10.81% |
VLO Valero Energy Corporation | 6.41% | 8.79% | -6.92% | -15.80% | 17.38% | 12.72% |
VUG Vanguard Growth ETF | 1.52% | 6.89% | 1.05% | 19.26% | 16.79% | 15.41% |
Monthly Returns
The table below presents the monthly returns of Ray Dalio - 15 Uncorrelated Returns, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.42% | 3.02% | -1.07% | -4.52% | 2.80% | -0.23% | 3.21% | ||||||
| 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 | 1.50% | -1.61% | 6.81% | -2.42% | 5.86% | -10.06% | 3.01% | -3.01% | -8.60% | 15.55% | 3.01% | -4.72% | 2.63% |
| 2021 | 2.96% | 4.43% | 7.52% | 1.15% | 3.78% | -1.17% | -0.95% | 1.07% | -3.58% | 1.85% | -0.46% | 6.46% | 24.95% |
| 2020 | -3.20% | -9.46% | -12.70% | 12.39% | 1.90% | -2.10% | 2.46% | 5.80% | -5.47% | -3.94% | 13.82% | 0.54% | -3.37% |
| 2019 | 6.47% | 1.55% | -1.20% | 2.08% | -7.75% | 7.92% | -0.59% | -2.05% | 3.80% | 3.27% | 3.45% | 2.96% | 20.69% |
| 2018 | 4.21% | -4.15% | -3.78% | -0.06% | 1.27% | 0.38% | 4.62% | 2.55% | 1.03% | -6.07% | 1.07% | -9.77% | -9.33% |
| 2017 | -0.92% | 3.95% | -1.44% | 0.49% | 0.51% | 0.85% | 0.87% | -0.13% | 3.56% | 1.33% | 3.56% | 1.88% | 15.33% |
| 2016 | -3.77% | 1.17% | 5.01% | 2.16% | -0.34% | 2.69% | 2.22% | -3.00% | -1.86% | -0.69% | 4.14% | 3.83% | 11.67% |
| 2015 | -1.55% | 6.66% | -0.94% | -1.94% | 1.28% | -1.83% | 3.01% | -6.82% | -0.54% | 9.04% | 0.79% | -0.31% | 6.08% |
| 2014 | -5.71% | 4.45% | 2.90% | 2.75% | 1.01% | 0.13% | 0.16% | 4.07% | -0.65% | 3.95% | 2.22% | 0.61% | 16.61% |
Expense Ratio
Ray Dalio - 15 Uncorrelated Returns has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 85, Ray Dalio - 15 Uncorrelated Returns is among the top 15% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BMY Bristol-Myers Squibb Company | 0.79 | 1.46 | 1.18 | 0.57 | 2.86 |
PFE Pfizer Inc. | -0.53 | -0.44 | 0.95 | -0.17 | -0.70 |
CVX Chevron Corporation | -0.45 | -0.27 | 0.96 | -0.37 | -0.88 |
BRK-B Berkshire Hathaway Inc. | 1.09 | 1.75 | 1.25 | 2.77 | 6.52 |
MMM 3M Company | 1.38 | 2.67 | 1.36 | 1.28 | 9.57 |
JNJ Johnson & Johnson | 0.50 | 0.89 | 1.12 | 0.64 | 1.69 |
GM General Motors Company | 0.19 | 0.72 | 1.10 | 0.34 | 0.92 |
LUMN Lumen Technologies, Inc. | 1.50 | 3.23 | 1.40 | 2.08 | 5.08 |
MO Altria Group, Inc. | 2.18 | 3.26 | 1.43 | 4.39 | 10.26 |
T AT&T Inc. | 2.66 | 3.64 | 1.53 | 4.33 | 24.23 |
C Citigroup Inc. | 0.76 | 1.20 | 1.17 | 0.84 | 2.51 |
LMT Lockheed Martin Corporation | 0.22 | 0.66 | 1.10 | 0.30 | 0.56 |
KR The Kroger Co. | 1.40 | 2.21 | 1.26 | 2.42 | 10.38 |
VLO Valero Energy Corporation | -0.43 | -0.31 | 0.96 | -0.35 | -0.84 |
VUG Vanguard Growth ETF | 0.77 | 1.11 | 1.16 | 0.76 | 2.57 |
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Dividends
Dividend yield
Ray Dalio - 15 Uncorrelated Returns provided a 3.07% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.07% | 3.08% | 3.51% | 5.01% | 3.71% | 4.30% | 3.52% | 4.24% | 3.36% | 3.14% | 3.16% | 2.79% |
| Portfolio components: | ||||||||||||
BMY Bristol-Myers Squibb Company | 5.00% | 4.24% | 4.44% | 3.00% | 2.36% | 3.69% | 2.55% | 3.08% | 2.55% | 1.95% | 2.17% | 2.46% |
PFE Pfizer Inc. | 7.25% | 6.33% | 5.70% | 3.12% | 2.64% | 3.92% | 3.68% | 3.12% | 3.53% | 3.69% | 3.47% | 3.34% |
CVX Chevron Corporation | 4.85% | 4.50% | 4.05% | 3.16% | 4.52% | 6.11% | 3.95% | 4.12% | 3.45% | 3.64% | 4.76% | 3.75% |
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 | 1.95% | 2.60% | 5.49% | 4.97% | 3.33% | 3.36% | 3.26% | 2.85% | 2.00% | 2.49% | 2.72% | 2.08% |
JNJ Johnson & Johnson | 3.23% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% | 2.64% |
GM General Motors Company | 1.01% | 0.90% | 1.00% | 0.54% | 0.00% | 0.91% | 4.15% | 4.54% | 3.71% | 4.36% | 4.06% | 3.44% |
LUMN Lumen Technologies, Inc. | 0.00% | 0.00% | 0.00% | 14.37% | 7.97% | 10.26% | 7.57% | 14.26% | 12.95% | 9.08% | 8.59% | 5.46% |
MO Altria Group, Inc. | 6.66% | 7.65% | 9.52% | 8.05% | 7.43% | 8.29% | 6.57% | 6.07% | 3.56% | 3.48% | 3.73% | 4.06% |
T AT&T Inc. | 3.98% | 4.88% | 6.63% | 7.35% | 11.19% | 9.58% | 6.91% | 9.28% | 6.67% | 5.98% | 7.23% | 7.25% |
C Citigroup Inc. | 2.96% | 3.10% | 4.04% | 4.51% | 3.38% | 3.31% | 2.40% | 2.96% | 1.29% | 0.71% | 0.31% | 0.07% |
LMT Lockheed Martin Corporation | 3.38% | 2.62% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% |
KR The Kroger Co. | 1.88% | 2.00% | 2.41% | 17.47% | 1.72% | 2.14% | 2.07% | 1.93% | 1.79% | 1.30% | 0.94% | 1.06% |
VLO Valero Energy Corporation | 3.43% | 3.49% | 3.14% | 3.09% | 5.22% | 6.93% | 3.84% | 4.27% | 3.05% | 3.51% | 2.40% | 2.12% |
VUG Vanguard Growth ETF | 0.47% | 0.47% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% | 1.21% |
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 206 trading sessions.
The current Ray Dalio - 15 Uncorrelated Returns drawdown is 10.48%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.19% | Jan 23, 2020 | 42 | Mar 23, 2020 | 206 | Jan 14, 2021 | 248 |
| -21.91% | Jun 8, 2022 | 350 | Oct 27, 2023 | 185 | Jul 25, 2024 | 535 |
| -20.68% | Sep 24, 2018 | 64 | Dec 24, 2018 | 246 | Dec 16, 2019 | 310 |
| -18.84% | Nov 12, 2024 | 100 | Apr 8, 2025 | — | — | — |
| -12.05% | 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
| ^GSPC | KR | LUMN | VLO | BMY | MO | LMT | PFE | T | JNJ | GM | CVX | VUG | C | MMM | BRK-B | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.26 | 0.40 | 0.43 | 0.39 | 0.36 | 0.42 | 0.44 | 0.42 | 0.44 | 0.56 | 0.50 | 0.94 | 0.65 | 0.62 | 0.70 | 0.77 |
| KR | 0.26 | 1.00 | 0.22 | 0.16 | 0.23 | 0.27 | 0.22 | 0.23 | 0.24 | 0.26 | 0.17 | 0.19 | 0.20 | 0.19 | 0.25 | 0.27 | 0.42 |
| LUMN | 0.40 | 0.22 | 1.00 | 0.25 | 0.20 | 0.29 | 0.21 | 0.23 | 0.43 | 0.22 | 0.35 | 0.29 | 0.33 | 0.36 | 0.37 | 0.36 | 0.60 |
| VLO | 0.43 | 0.16 | 0.25 | 1.00 | 0.22 | 0.21 | 0.26 | 0.22 | 0.25 | 0.19 | 0.33 | 0.56 | 0.33 | 0.43 | 0.36 | 0.39 | 0.58 |
| BMY | 0.39 | 0.23 | 0.20 | 0.22 | 1.00 | 0.30 | 0.34 | 0.48 | 0.29 | 0.48 | 0.22 | 0.26 | 0.32 | 0.28 | 0.33 | 0.36 | 0.51 |
| MO | 0.36 | 0.27 | 0.29 | 0.21 | 0.30 | 1.00 | 0.32 | 0.29 | 0.41 | 0.38 | 0.26 | 0.30 | 0.26 | 0.27 | 0.38 | 0.41 | 0.52 |
| LMT | 0.42 | 0.22 | 0.21 | 0.26 | 0.34 | 0.32 | 1.00 | 0.31 | 0.30 | 0.36 | 0.26 | 0.32 | 0.33 | 0.30 | 0.41 | 0.45 | 0.53 |
| PFE | 0.44 | 0.23 | 0.23 | 0.22 | 0.48 | 0.29 | 0.31 | 1.00 | 0.33 | 0.51 | 0.26 | 0.27 | 0.35 | 0.32 | 0.38 | 0.41 | 0.54 |
| T | 0.42 | 0.24 | 0.43 | 0.25 | 0.29 | 0.41 | 0.30 | 0.33 | 1.00 | 0.38 | 0.32 | 0.34 | 0.30 | 0.36 | 0.39 | 0.45 | 0.57 |
| JNJ | 0.44 | 0.26 | 0.22 | 0.19 | 0.48 | 0.38 | 0.36 | 0.51 | 0.38 | 1.00 | 0.22 | 0.28 | 0.34 | 0.28 | 0.43 | 0.47 | 0.54 |
| GM | 0.56 | 0.17 | 0.35 | 0.33 | 0.22 | 0.26 | 0.26 | 0.26 | 0.32 | 0.22 | 1.00 | 0.39 | 0.47 | 0.55 | 0.45 | 0.48 | 0.62 |
| CVX | 0.50 | 0.19 | 0.29 | 0.56 | 0.26 | 0.30 | 0.32 | 0.27 | 0.34 | 0.28 | 0.39 | 1.00 | 0.36 | 0.48 | 0.41 | 0.49 | 0.62 |
| VUG | 0.94 | 0.20 | 0.33 | 0.33 | 0.32 | 0.26 | 0.33 | 0.35 | 0.30 | 0.34 | 0.47 | 0.36 | 1.00 | 0.52 | 0.51 | 0.56 | 0.61 |
| C | 0.65 | 0.19 | 0.36 | 0.43 | 0.28 | 0.27 | 0.30 | 0.32 | 0.36 | 0.28 | 0.55 | 0.48 | 0.52 | 1.00 | 0.50 | 0.65 | 0.68 |
| MMM | 0.62 | 0.25 | 0.37 | 0.36 | 0.33 | 0.38 | 0.41 | 0.38 | 0.39 | 0.43 | 0.45 | 0.41 | 0.51 | 0.50 | 1.00 | 0.57 | 0.68 |
| BRK-B | 0.70 | 0.27 | 0.36 | 0.39 | 0.36 | 0.41 | 0.45 | 0.41 | 0.45 | 0.47 | 0.48 | 0.49 | 0.56 | 0.65 | 0.57 | 1.00 | 0.73 |
| Portfolio | 0.77 | 0.42 | 0.60 | 0.58 | 0.51 | 0.52 | 0.53 | 0.54 | 0.57 | 0.54 | 0.62 | 0.62 | 0.61 | 0.68 | 0.68 | 0.73 | 1.00 |