Dalio Optimized w/5 floor

Asset Allocation

Position	Category/Sector	Target Weight
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	Government Bonds, Ultrashort Bond	25.16%
PRFRX T. Rowe Price Floating Rate Fund	High Yield Bonds	12.29%
NFIAX Neuberger Berman Floating Rate Income Fund	Bank Loan	11.70%
LFRIX Lord Abbett Floating Rate Fund	Bank Loan	11.25%
FFRHX Fidelity Floating Rate High Income Fund	Bank Loan	10.55%
FTSL First Trust Senior Loan Fund	High Yield Bonds	9.05%
GLD SPDR Gold Shares	Gold, Precious Metals	5%
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF	Commodities	5%
IVV iShares Core S&P 500 ETF	S&P 500	5%
VNQ Vanguard Real Estate ETF	REIT	5%

Benchmark Against

Benchmark

S&P 500 Index

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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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Returns By Period

As of Jun 13, 2026, the Dalio Optimized w/5 floor returned 3.55% Year-To-Date and 5.50% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	0.31%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio Dalio Optimized w/5 floor	0.04%	-0.43%	3.55%	3.99%	9.06%	9.29%	6.35%	5.50%
Portfolio components:
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	0.03%	0.29%	1.60%	1.76%	3.85%	4.63%	3.43%	2.20%
FFRHX Fidelity Floating Rate High Income Fund	-0.11%	-0.00%	1.60%	1.98%	5.89%	7.24%	5.35%	4.90%
FTSL First Trust Senior Loan Fund	-0.04%	-0.10%	0.51%	0.66%	4.27%	7.06%	4.95%	4.44%
GLD SPDR Gold Shares	0.06%	-9.52%	-2.47%	-2.25%	22.21%	28.89%	17.08%	12.15%
IVV iShares Core S&P 500 ETF	0.55%	-0.85%	9.08%	9.43%	25.77%	20.95%	13.42%	15.47%
LFRIX Lord Abbett Floating Rate Fund	0.00%	0.17%	1.53%	2.10%	6.20%	7.67%	5.35%	4.52%
NFIAX Neuberger Berman Floating Rate Income Fund	0.00%	0.08%	1.15%	1.59%	5.17%	7.57%	4.96%	4.49%
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF	-1.04%	-8.28%	28.75%	30.02%	30.88%	12.43%	10.98%	7.99%
PRFRX T. Rowe Price Floating Rate Fund	-0.11%	-0.10%	0.83%	2.01%	7.80%	9.76%	6.95%	5.46%
VNQ Vanguard Real Estate ETF	0.92%	3.35%	12.51%	12.32%	14.02%	10.14%	2.55%	5.65%

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

Monthly Returns

Based on dividend-adjusted daily data since Nov 7, 2014, Dalio Optimized w/5 floor's average daily return is +0.02%, while the average monthly return is +0.41%. At this rate, an investment would double in approximately 14.1 years.

Historically, 73% of months were positive and 27% 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	1.31%	0.43%	0.10%	2.00%	0.31%	-0.62%							3.55%
2025	1.19%	0.37%	0.09%	-0.30%	1.33%	1.04%	0.75%	0.94%	1.30%	0.51%	0.83%	0.53%	8.92%
2024	0.26%	0.93%	1.39%	0.02%	1.23%	0.34%	1.16%	0.85%	1.04%	0.72%	1.02%	-0.21%	9.08%
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 2.98%, beta of 0.15, and R2 of 0.54 versus S&P 500 Index. Calculated based on daily prices since November 07, 2014.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (22.87%) than losses (17.77%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.98% 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: 2.98%

Beta: 0.15

R²: 0.54

Upside Capture: 22.87%

Downside Capture: 17.77%

See how alpha, beta & R² have trended over time →

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.

NFIAX

Neuberger Berman Floating Rate Income Fund

FTSL

First Trust Senior Loan Fund

PRFRX

T. Rowe Price Floating Rate Fund

FFRHX

Fidelity Floating Rate High Income Fund

LFRIX

Lord Abbett Floating Rate Fund

PDBC

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF

GLD

SPDR Gold Shares

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

VNQ

Vanguard Real Estate ETF

IVV

iShares Core S&P 500 ETF

Return for Risk

Risk / Return Rank

Dalio Optimized w/5 floor ranks 96 for risk / return — in the top 96% 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

The table below presents risk-adjusted performance metrics for Dalio Optimized w/5 floor and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	3.48	1.86	+1.62
Sortino ratioReturn per unit of downside risk	5.08	2.53	+2.54
Omega ratioGain probability vs. loss probability	1.77	1.34	+0.43
Calmar ratioReturn relative to maximum drawdown	6.71	2.53	+4.18
Martin ratioReturn relative to average drawdown	26.03	11.37	+14.66

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	100	19.63	175.17	88.41	357.44	2,834.34
FFRHX Fidelity Floating Rate High Income Fund	93	2.45	5.83	1.86	4.87	17.02
FTSL First Trust Senior Loan Fund	65	2.04	3.17	1.47	1.85	6.88
GLD SPDR Gold Shares	26	0.87	1.24	1.18	0.98	2.81
IVV iShares Core S&P 500 ETF	67	2.00	2.70	1.36	2.76	12.43
LFRIX Lord Abbett Floating Rate Fund	92	2.50	5.72	1.97	3.92	14.80
NFIAX Neuberger Berman Floating Rate Income Fund	92	2.32	5.86	1.92	4.75	16.22
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF	63	1.84	2.44	1.32	3.55	9.49
PRFRX T. Rowe Price Floating Rate Fund	96	2.91	7.36	2.14	5.15	19.34
VNQ Vanguard Real Estate ETF	31	0.96	1.39	1.17	1.56	4.90

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. Learn how to interpret the Sharpe ratio.

The current Dalio Optimized w/5 floor Sharpe ratio is 3.48 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, 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 Dalio Optimized w/5 floor 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

Dalio Optimized w/5 floor provided a 5.37% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	5.37%	5.70%	6.22%	6.12%	3.51%	4.63%	2.52%	3.58%	3.44%	2.84%	2.91%	2.56%
Portfolio components:
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	3.86%	4.13%	5.03%	4.92%	1.35%	0.00%	0.30%	2.05%	1.66%	0.68%	0.07%	0.00%
FFRHX Fidelity Floating Rate High Income Fund	7.10%	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	6.47%	6.59%	7.56%	7.59%	4.77%	3.17%	3.48%	4.44%	4.29%	3.64%	3.70%	3.95%
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	1.08%	1.17%	1.30%	1.44%	1.66%	1.20%	1.57%	1.85%	2.21%	1.75%	2.01%	2.27%
LFRIX Lord Abbett Floating Rate Fund	6.91%	7.20%	7.68%	7.63%	3.95%	4.01%	4.64%	5.71%	5.60%	4.65%	4.64%	4.72%
NFIAX Neuberger Berman Floating Rate Income Fund	6.60%	6.84%	8.05%	6.89%	3.97%	3.36%	3.68%	4.71%	4.32%	3.44%	3.46%	4.05%
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF	2.98%	3.84%	4.42%	4.21%	13.05%	50.83%	0.01%	1.40%	1.00%	3.83%	6.51%	0.00%
PRFRX T. Rowe Price Floating Rate Fund	9.26%	9.99%	10.20%	9.57%	4.03%	3.86%	4.00%	4.84%	4.87%	4.04%	4.07%	4.07%
VNQ Vanguard Real Estate ETF	3.54%	3.92%	3.85%	3.95%	3.91%	2.56%	3.93%	3.39%	4.74%	4.23%	4.82%	3.92%

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 0.84%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-17.03%Mar 2020	28d	7mo 21d	8mo 19dFeb 2020 - Nov 2020
Bear market2022	-6.46%Sep 2022	5mo 12d	8mo 16d	1y 1moApr 2022 - Jun 2023
2016 pullback2016	-5.15%Jan 2016	8mo 7d	3mo 23d	12moMay 2015 - May 2016
Rate-hike selloffLate 2018	-4.23%Dec 2018	2mo 22d	1mo 23d	4mo 15dOct 2018 - Feb 2019
2025 selloff2025	-3.09%Apr 2025	1mo 16d	28d	2mo 14dFeb 2025 - May 2025

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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.96	1.79	1.67	1.55	1.58

The portfolio has a diversification ratio of 1.58, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Dalio Optimized w/5 floor correlation to the S&P 500 Index

Dalio Optimized w/5 floor has a 0.45 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.58
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Nov 7, 2014	0.66

Benchmark Correlations

Correlation vs. S&P 500 Index. IVV has the highest benchmark correlation at 1.00, while BIL has the lowest at 0.00.

0.00

0.03

0.23

0.25

0.25

0.28

0.29

0.40

0.58

1.00

Portfolio Correlations

Correlation vs. Dalio Optimized w/5 floor. IVV has the highest portfolio correlation at 0.66, while BIL has the lowest at 0.03.

0.03

0.42

0.45

0.47

0.48

0.49

0.52

0.57

0.63

0.66

Asset Correlations Table

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

	BIL	GLD	PDBC	VNQ	FTSL	NFIAX	PRFRX	LFRIX	FFRHX	IVV
BIL	1.00	0.04	-0.02	-0.02	0.02	0.00	-0.03	-0.00	-0.01	0.00
GLD	0.04	1.00	0.22	0.12	0.07	0.01	0.03	-0.02	0.01	0.03
PDBC	-0.02	0.22	1.00	0.11	0.15	0.15	0.14	0.16	0.21	0.25
VNQ	-0.02	0.12	0.11	1.00	0.28	0.16	0.20	0.18	0.20	0.58
FTSL	0.02	0.07	0.15	0.28	1.00	0.32	0.33	0.34	0.36	0.40
NFIAX	0.00	0.01	0.15	0.16	0.32	1.00	0.68	0.71	0.71	0.23
PRFRX	-0.03	0.03	0.14	0.20	0.33	0.68	1.00	0.68	0.67	0.25
LFRIX	-0.00	-0.02	0.16	0.18	0.34	0.71	0.68	1.00	0.71	0.28
FFRHX	-0.01	0.01	0.21	0.20	0.36	0.71	0.67	0.71	1.00	0.29
IVV	0.00	0.03	0.25	0.58	0.40	0.23	0.25	0.28	0.29	1.00

The correlation results are calculated based on daily price changes starting from Nov 7, 2014

Diversification Analysis

Find what Dalio Optimized w/5 floor is missing

See which holdings overlap, where Dalio Optimized w/5 floor is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification