Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 25.16% |
FFRHX Fidelity Floating Rate High Income Fund | High Yield Bonds | 10.55% |
FTSL First Trust Senior Loan Fund | High Yield Bonds, Actively Managed | 9.05% |
GLD SPDR Gold Shares | Gold, Precious Metals | 5% |
IVV iShares Core S&P 500 ETF | S&P 500 | 5% |
LFRIX Lord Abbett Floating Rate Fund | Bank Loan | 11.25% |
NFIAX Neuberger Berman Floating Rate Income Fund | Bank Loan | 11.70% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | Commodities, Actively Managed | 5% |
PRFRX T. Rowe Price Floating Rate Fund | High Yield Bonds | 12.29% |
VNQ Vanguard Real Estate ETF | REIT | 5% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dalio Optimized w/5 floor, 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.
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The earliest data available for this chart is Nov 7, 2014, corresponding to the inception date of PDBC
Returns By Period
As of Apr 4, 2026, the Dalio Optimized w/5 floor returned 1.92% Year-To-Date and 5.60% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio Dalio Optimized w/5 floor | 0.07% | -0.13% | 1.92% | 3.97% | 11.77% | 9.08% | 6.60% | 5.60% |
| Portfolio components: | ||||||||
FFRHX Fidelity Floating Rate High Income Fund | -0.11% | -0.11% | -0.61% | 0.77% | 5.70% | 6.96% | 5.18% | 4.98% |
FTSL First Trust Senior Loan Fund | -0.06% | 0.46% | -0.75% | 0.83% | 7.24% | 7.05% | 4.88% | 4.49% |
NFIAX Neuberger Berman Floating Rate Income Fund | 0.00% | -0.22% | -0.72% | 0.64% | 5.31% | 7.13% | 4.78% | 4.48% |
PRFRX T. Rowe Price Floating Rate Fund | -0.11% | -0.22% | 0.05% | 3.46% | 13.45% | 10.22% | 7.20% | 5.67% |
LFRIX Lord Abbett Floating Rate Fund | 0.00% | -0.13% | -0.80% | 1.07% | 5.61% | 7.45% | 5.18% | 4.57% |
GLD SPDR Gold Shares | -1.92% | -7.88% | 8.35% | 20.07% | 53.51% | 32.51% | 21.53% | 13.97% |
IVV iShares Core S&P 500 ETF | 0.14% | -3.47% | -3.54% | -1.39% | 31.43% | 18.49% | 11.96% | 14.16% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 2.46% | 10.89% | 32.23% | 36.33% | 43.42% | 11.08% | 14.55% | 10.12% |
VNQ Vanguard Real Estate ETF | 1.36% | -3.58% | 3.06% | 0.66% | 11.42% | 7.33% | 3.14% | 4.85% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.02% | 0.29% | 0.90% | 1.83% | 3.96% | 4.71% | 3.28% | 2.13% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 10, 2014, Dalio Optimized w/5 floor's average daily return is +0.02%, while the average monthly return is +0.40%. At this rate, your investment would double in approximately 14.5 years.
Historically, 72% of months were positive and 28% were negative. The best month was Apr 2020 with a return of +3.6%, while the worst month was Mar 2020 at -8.7%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Dalio Optimized w/5 floor closed higher 58% of trading days. The best single day was Mar 26, 2020 with a return of +2.3%, while the worst single day was Mar 16, 2020 at -3.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.38% | 0.49% | -0.15% | 0.20% | 1.92% | ||||||||
| 2025 | 1.19% | 0.37% | 0.09% | -0.22% | 1.41% | 1.11% | 0.75% | 0.94% | 1.30% | 0.59% | 0.89% | 0.53% | 9.32% |
| 2024 | 0.26% | 0.93% | 1.39% | 0.02% | 1.14% | 0.34% | 1.16% | 0.85% | 1.04% | 0.64% | 0.94% | -0.21% | 8.80% |
| 2023 | 2.74% | -0.52% | 0.60% | 0.56% | -0.55% | 1.93% | 1.58% | 0.42% | -0.28% | -0.13% | 1.95% | 1.62% | 10.30% |
| 2022 | -0.29% | 0.05% | 1.08% | -0.47% | -1.55% | -2.65% | 1.72% | 0.03% | -3.00% | 1.48% | 1.84% | -0.36% | -2.25% |
| 2021 | 0.46% | 0.82% | 0.43% | 1.49% | 0.99% | 0.25% | 0.49% | 0.45% | -0.13% | 1.19% | -0.84% | 1.66% | 7.49% |
Benchmark Metrics
Dalio Optimized w/5 floor has an annualized alpha of 3.05%, beta of 0.15, and R² of 0.53 versus S&P 500 Index. Calculated based on daily prices since November 10, 2014.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (23.55%) than losses (17.72%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 3.05% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.15 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
- 3.05%
- Beta
- 0.15
- R²
- 0.53
- Upside Capture
- 23.55%
- Downside Capture
- 17.72%
Expense Ratio
Dalio Optimized w/5 floor has an expense ratio of 0.51%, placing it in the medium range. 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
Dalio Optimized w/5 floor ranks 94 for risk / return — in the top 94% 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 | 2.80 | 0.88 | +1.91 |
Sortino ratioReturn per unit of downside risk | 3.88 | 1.37 | +2.51 |
Omega ratioGain probability vs. loss probability | 1.67 | 1.21 | +0.47 |
Calmar ratioReturn relative to maximum drawdown | 3.22 | 1.39 | +1.83 |
Martin ratioReturn relative to average drawdown | 18.37 | 6.43 | +11.93 |
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 | |
|---|---|---|---|---|---|---|
FFRHX Fidelity Floating Rate High Income Fund | 75 | 1.46 | 2.06 | 1.49 | 1.77 | 8.52 |
FTSL First Trust Senior Loan Fund | 74 | 1.55 | 2.04 | 1.42 | 2.04 | 7.29 |
NFIAX Neuberger Berman Floating Rate Income Fund | 89 | 1.77 | 2.72 | 1.63 | 2.54 | 10.75 |
PRFRX T. Rowe Price Floating Rate Fund | 99 | 3.62 | 7.25 | 2.37 | 6.05 | 28.87 |
LFRIX Lord Abbett Floating Rate Fund | 85 | 1.67 | 2.41 | 1.61 | 2.41 | 9.19 |
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
IVV iShares Core S&P 500 ETF | 53 | 0.97 | 1.48 | 1.23 | 1.52 | 7.13 |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 78 | 1.73 | 2.33 | 1.31 | 3.01 | 7.40 |
VNQ Vanguard Real Estate ETF | 15 | 0.18 | 0.36 | 1.05 | 0.29 | 1.11 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 100 | 19.57 | 254.91 | 180.89 | 367.86 | 4,130.10 |
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Dividends
Dividend yield
Dalio Optimized w/5 floor provided a 5.76% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.76% | 6.06% | 5.97% | 6.12% | 3.51% | 4.63% | 2.52% | 3.58% | 3.44% | 2.84% | 2.91% | 2.56% |
| Portfolio components: | ||||||||||||
FFRHX Fidelity Floating Rate High Income Fund | 6.75% | 7.41% | 6.94% | 8.24% | 3.81% | 2.74% | 3.84% | 5.15% | 4.74% | 4.05% | 4.44% | 3.69% |
FTSL First Trust Senior Loan Fund | 6.58% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
NFIAX Neuberger Berman Floating Rate Income Fund | 6.24% | 6.84% | 8.05% | 6.89% | 3.97% | 3.36% | 3.68% | 4.71% | 4.32% | 3.44% | 3.46% | 4.05% |
PRFRX T. Rowe Price Floating Rate Fund | 12.92% | 12.91% | 8.17% | 9.57% | 4.03% | 3.86% | 4.00% | 4.84% | 4.87% | 4.04% | 4.07% | 4.07% |
LFRIX Lord Abbett Floating Rate Fund | 6.54% | 7.20% | 7.68% | 7.63% | 3.95% | 4.01% | 4.64% | 5.71% | 5.60% | 4.65% | 4.64% | 4.72% |
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% |
IVV iShares Core S&P 500 ETF | 1.22% | 1.17% | 1.30% | 1.44% | 1.66% | 1.20% | 1.57% | 1.85% | 2.21% | 1.75% | 2.01% | 2.27% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 2.90% | 3.84% | 4.42% | 4.21% | 13.05% | 50.83% | 0.01% | 1.40% | 1.00% | 3.83% | 6.51% | 0.00% |
VNQ Vanguard Real Estate ETF | 3.86% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.96% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Dalio Optimized w/5 floor. 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 Dalio Optimized w/5 floor was 17.03%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current Dalio Optimized w/5 floor drawdown is 0.58%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.03% | Feb 24, 2020 | 21 | Mar 23, 2020 | 161 | Nov 9, 2020 | 182 |
| -6.46% | Apr 21, 2022 | 113 | Sep 30, 2022 | 175 | Jun 13, 2023 | 288 |
| -5.15% | May 18, 2015 | 171 | Jan 20, 2016 | 79 | May 12, 2016 | 250 |
| -4.23% | Oct 3, 2018 | 57 | Dec 24, 2018 | 36 | Feb 15, 2019 | 93 |
| -3.09% | Feb 21, 2025 | 33 | Apr 8, 2025 | 19 | May 6, 2025 | 52 |
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 10 assets, with an effective number of assets of 7.46, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | BIL | GLD | PDBC | VNQ | FTSL | NFIAX | PRFRX | LFRIX | IVV | FFRHX | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.00 | 0.02 | 0.26 | 0.59 | 0.40 | 0.23 | 0.25 | 0.28 | 1.00 | 0.29 | 0.66 |
| BIL | 0.00 | 1.00 | 0.04 | -0.02 | -0.01 | 0.02 | 0.00 | -0.02 | -0.00 | 0.00 | -0.02 | 0.04 |
| GLD | 0.02 | 0.04 | 1.00 | 0.24 | 0.12 | 0.06 | -0.00 | 0.02 | -0.02 | 0.02 | 0.00 | 0.41 |
| PDBC | 0.26 | -0.02 | 0.24 | 1.00 | 0.12 | 0.16 | 0.16 | 0.14 | 0.17 | 0.26 | 0.22 | 0.58 |
| VNQ | 0.59 | -0.01 | 0.12 | 0.12 | 1.00 | 0.28 | 0.16 | 0.20 | 0.18 | 0.59 | 0.20 | 0.63 |
| FTSL | 0.40 | 0.02 | 0.06 | 0.16 | 0.28 | 1.00 | 0.32 | 0.32 | 0.34 | 0.40 | 0.36 | 0.45 |
| NFIAX | 0.23 | 0.00 | -0.00 | 0.16 | 0.16 | 0.32 | 1.00 | 0.70 | 0.71 | 0.23 | 0.71 | 0.47 |
| PRFRX | 0.25 | -0.02 | 0.02 | 0.14 | 0.20 | 0.32 | 0.70 | 1.00 | 0.69 | 0.25 | 0.69 | 0.48 |
| LFRIX | 0.28 | -0.00 | -0.02 | 0.17 | 0.18 | 0.34 | 0.71 | 0.69 | 1.00 | 0.28 | 0.71 | 0.49 |
| IVV | 1.00 | 0.00 | 0.02 | 0.26 | 0.59 | 0.40 | 0.23 | 0.25 | 0.28 | 1.00 | 0.29 | 0.66 |
| FFRHX | 0.29 | -0.02 | 0.00 | 0.22 | 0.20 | 0.36 | 0.71 | 0.69 | 0.71 | 0.29 | 1.00 | 0.53 |
| Portfolio | 0.66 | 0.04 | 0.41 | 0.58 | 0.63 | 0.45 | 0.47 | 0.48 | 0.49 | 0.66 | 0.53 | 1.00 |