Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Ray Dalio All Weather Portfolio, 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 Feb 6, 2006, corresponding to the inception date of DBC
Returns By Period
As of Apr 3, 2026, the Ray Dalio All Weather Portfolio returned 2.41% Year-To-Date and 7.02% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio Ray Dalio All Weather Portfolio | 0.28% | -1.40% | 2.41% | 3.95% | 14.49% | 9.61% | 5.63% | 7.02% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | 0.16% | -3.97% | -3.13% | -1.30% | 24.10% | 18.10% | 10.66% | 13.75% |
DBC Invesco DB Commodity Index Tracking Fund | 2.27% | 12.20% | 31.17% | 35.29% | 39.45% | 11.56% | 14.82% | 10.42% |
GLD SPDR Gold Shares | -1.92% | -8.98% | 8.35% | 20.07% | 49.92% | 32.51% | 21.53% | 13.97% |
IEF iShares 7-10 Year Treasury Bond ETF | 0.23% | -1.27% | 0.01% | 0.69% | 2.78% | 2.14% | -0.73% | 0.79% |
TLT iShares 20+ Year Treasury Bond ETF | 0.61% | -2.26% | 0.69% | -0.72% | -1.22% | -2.76% | -5.75% | -1.34% |
TIP iShares TIPS Bond ETF | 0.41% | -0.40% | 0.82% | 0.71% | 2.69% | 3.06% | 1.33% | 2.52% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.05% | -0.17% | 0.31% | 1.28% | 3.31% | 3.85% | 1.71% | 1.65% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 7, 2006, Ray Dalio All Weather Portfolio's average daily return is +0.03%, while the average monthly return is +0.55%. At this rate, your investment would double in approximately 10.5 years.
Historically, 64% of months were positive and 36% were negative. The best month was Dec 2008 with a return of +6.0%, while the worst month was Oct 2008 at -10.5%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Ray Dalio All Weather Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +3.5%, while the worst single day was Mar 18, 2020 at -3.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.20% | 2.04% | -2.33% | 0.56% | 2.41% | ||||||||
| 2025 | 2.13% | 1.27% | -0.76% | -0.49% | 1.19% | 2.76% | 0.63% | 1.62% | 2.76% | 1.42% | 0.77% | -0.42% | 13.57% |
| 2024 | 0.10% | 0.70% | 2.36% | -2.67% | 2.59% | 1.50% | 2.08% | 1.35% | 1.92% | -1.45% | 2.16% | -2.48% | 8.25% |
| 2023 | 4.63% | -2.91% | 3.30% | 0.49% | -1.36% | 1.91% | 1.51% | -1.42% | -3.61% | -1.56% | 5.46% | 3.85% | 10.23% |
| 2022 | -2.70% | 0.20% | 0.11% | -4.88% | -0.43% | -4.19% | 4.22% | -3.26% | -7.01% | 1.98% | 4.20% | -2.69% | -14.14% |
| 2021 | -0.68% | -0.22% | -0.04% | 3.21% | 1.32% | 1.36% | 2.24% | 0.59% | -2.01% | 3.13% | -0.45% | 1.61% | 10.38% |
Benchmark Metrics
Ray Dalio All Weather Portfolio has an annualized alpha of 4.06%, beta of 0.26, and R² of 0.49 versus S&P 500 Index. Calculated based on daily prices since February 07, 2006.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (39.73%) than losses (32.88%) — typical of diversified or defensive assets.
- Beta of 0.26 may look defensive, but with R² of 0.49 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.49 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 4.06%
- Beta
- 0.26
- R²
- 0.49
- Upside Capture
- 39.73%
- Downside Capture
- 32.88%
Expense Ratio
Ray Dalio All Weather Portfolio has an expense ratio of 0.20%, 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
Ray Dalio All Weather Portfolio ranks 76 for risk / return — better than 76% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.65 | 0.88 | +0.77 |
Sortino ratioReturn per unit of downside risk | 2.35 | 1.37 | +0.98 |
Omega ratioGain probability vs. loss probability | 1.35 | 1.21 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.28 | 1.39 | +0.89 |
Martin ratioReturn relative to average drawdown | 10.89 | 6.43 | +4.45 |
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 | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 52 | 0.94 | 1.47 | 1.22 | 1.53 | 7.16 |
DBC Invesco DB Commodity Index Tracking Fund | 80 | 1.80 | 2.41 | 1.32 | 3.16 | 8.12 |
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
IEF iShares 7-10 Year Treasury Bond ETF | 31 | 0.72 | 1.06 | 1.12 | 1.16 | 2.87 |
TLT iShares 20+ Year Treasury Bond ETF | 9 | -0.07 | -0.01 | 1.00 | -0.09 | -0.19 |
TIP iShares TIPS Bond ETF | 34 | 0.80 | 1.11 | 1.14 | 1.16 | 3.36 |
SHY iShares 1-3 Year Treasury Bond ETF | 95 | 2.57 | 4.23 | 1.54 | 4.08 | 15.52 |
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Dividends
Dividend yield
Ray Dalio All Weather Portfolio provided a 2.48% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.48% | 2.68% | 2.60% | 2.43% | 2.94% | 1.75% | 1.10% | 1.74% | 2.09% | 1.63% | 1.55% | 1.29% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.16% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
DBC Invesco DB Commodity Index Tracking Fund | 2.54% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
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% |
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% |
TLT iShares 20+ Year Treasury Bond ETF | 4.51% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
TIP iShares TIPS Bond ETF | 2.79% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.72% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
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 All Weather Portfolio. 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 All Weather Portfolio was 20.27%, occurring on Mar 9, 2009. Recovery took 187 trading sessions.
The current Ray Dalio All Weather Portfolio drawdown is 1.87%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.27% | May 21, 2008 | 201 | Mar 9, 2009 | 187 | Dec 2, 2009 | 388 |
| -18% | Nov 10, 2021 | 238 | Oct 20, 2022 | 431 | Jul 11, 2024 | 669 |
| -13.81% | Feb 24, 2020 | 18 | Mar 18, 2020 | 50 | May 29, 2020 | 68 |
| -7.7% | Apr 20, 2015 | 192 | Jan 21, 2016 | 80 | May 16, 2016 | 272 |
| -6.57% | Aug 30, 2018 | 80 | Dec 24, 2018 | 36 | Feb 15, 2019 | 116 |
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 7 assets, with an effective number of assets of 5.03, 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 | GLD | DBC | VTI | SHY | TIP | TLT | IEF | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.06 | 0.32 | 0.99 | -0.19 | -0.11 | -0.26 | -0.27 | 0.65 |
| GLD | 0.06 | 1.00 | 0.35 | 0.07 | 0.25 | 0.29 | 0.18 | 0.22 | 0.47 |
| DBC | 0.32 | 0.35 | 1.00 | 0.32 | -0.10 | 0.05 | -0.19 | -0.17 | 0.47 |
| VTI | 0.99 | 0.07 | 0.32 | 1.00 | -0.19 | -0.10 | -0.26 | -0.26 | 0.66 |
| SHY | -0.19 | 0.25 | -0.10 | -0.19 | 1.00 | 0.62 | 0.60 | 0.76 | 0.27 |
| TIP | -0.11 | 0.29 | 0.05 | -0.10 | 0.62 | 1.00 | 0.74 | 0.78 | 0.50 |
| TLT | -0.26 | 0.18 | -0.19 | -0.26 | 0.60 | 0.74 | 1.00 | 0.92 | 0.34 |
| IEF | -0.27 | 0.22 | -0.17 | -0.26 | 0.76 | 0.78 | 0.92 | 1.00 | 0.34 |
| Portfolio | 0.65 | 0.47 | 0.47 | 0.66 | 0.27 | 0.50 | 0.34 | 0.34 | 1.00 |