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Ray Dalio All Weather Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 25%TLT 15%IEF 10%SHY 5%DBC 7.5%GLD 7.5%VTI 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DBC
Invesco DB Commodity Index Tracking Fund
Commodities
7.50%
GLD
SPDR Gold Trust
Precious Metals, Gold
7.50%
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds
10%
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds
5%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
25%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
15%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
30%

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 Quarterly


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
6.30%
10.39%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC

Returns By Period

As of Oct 9, 2024, the Ray Dalio All Weather Portfolio returned 9.52% Year-To-Date and 5.83% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%6.34%10.39%32.65%14.43%11.71%
Ray Dalio All Weather Portfolio9.52%1.97%6.30%18.33%6.52%5.83%
VTI
Vanguard Total Stock Market ETF
20.31%6.37%10.30%33.75%15.49%13.20%
DBC
Invesco DB Commodity Index Tracking Fund
4.40%8.18%-2.54%-1.14%10.34%1.02%
GLD
SPDR Gold Trust
26.78%5.09%11.35%40.24%11.51%7.52%
IEF
iShares 7-10 Year Treasury Bond ETF
2.43%-1.91%4.97%9.14%-1.21%1.06%
TLT
iShares 20+ Year Treasury Bond ETF
-1.05%-4.28%5.06%13.86%-5.49%0.14%
TIP
iShares TIPS Bond ETF
4.00%0.07%4.54%9.14%2.24%2.14%
SHY
iShares 1-3 Year Treasury Bond ETF
3.50%-0.25%3.37%5.72%1.22%1.20%

Monthly Returns

The table below presents the monthly returns of Ray Dalio All Weather Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.10%0.70%2.36%-2.67%2.59%1.50%2.08%1.35%1.92%9.52%
20234.63%-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%
20201.73%-1.24%-3.90%5.21%2.42%1.53%4.26%1.88%-1.72%-1.68%4.49%2.48%16.10%
20193.81%1.01%1.85%0.94%-0.56%3.43%0.46%2.28%-0.49%0.83%0.85%1.10%16.54%
20181.10%-2.34%0.41%-0.16%1.44%0.08%0.24%1.43%-0.52%-3.33%0.42%-1.17%-2.49%
20171.29%1.76%-0.34%0.71%0.55%-0.08%1.11%1.31%-0.05%0.92%1.12%1.25%9.96%
2016-0.02%1.81%2.58%1.23%0.05%3.03%1.33%-0.48%0.39%-1.84%-1.30%0.75%7.68%
20152.16%-0.12%-0.81%0.29%-0.46%-1.51%0.02%-1.96%-0.83%2.54%-1.01%-1.44%-3.18%
20140.86%2.49%-0.18%0.86%1.44%1.42%-1.18%2.26%-2.68%1.12%0.75%-0.30%6.96%
20131.08%0.00%1.39%0.69%-2.21%-3.00%2.38%-1.09%1.22%1.63%-0.39%-0.21%1.35%

Expense Ratio

Ray Dalio All Weather Portfolio has an expense ratio of 0.20%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Ray Dalio All Weather Portfolio is 69, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Ray Dalio All Weather Portfolio is 6969
Ray Dalio All Weather Portfolio
The Sharpe Ratio Rank of Ray Dalio All Weather Portfolio is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of Ray Dalio All Weather Portfolio is 8484Sortino Ratio Rank
The Omega Ratio Rank of Ray Dalio All Weather Portfolio is 8181Omega Ratio Rank
The Calmar Ratio Rank of Ray Dalio All Weather Portfolio is 1919Calmar Ratio Rank
The Martin Ratio Rank of Ray Dalio All Weather Portfolio is 8585Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Ray Dalio All Weather Portfolio
Sharpe ratio
The chart of Sharpe ratio for Ray Dalio All Weather Portfolio, currently valued at 2.81, compared to the broader market0.002.004.002.81
Sortino ratio
The chart of Sortino ratio for Ray Dalio All Weather Portfolio, currently valued at 4.17, compared to the broader market-2.000.002.004.006.004.17
Omega ratio
The chart of Omega ratio for Ray Dalio All Weather Portfolio, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.801.53
Calmar ratio
The chart of Calmar ratio for Ray Dalio All Weather Portfolio, currently valued at 1.39, compared to the broader market0.002.004.006.008.0010.0012.001.39
Martin ratio
The chart of Martin ratio for Ray Dalio All Weather Portfolio, currently valued at 19.68, compared to the broader market0.0010.0020.0030.0040.0050.0019.68
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.36, compared to the broader market0.002.004.006.008.0010.0012.002.36
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.32, compared to the broader market0.0010.0020.0030.0040.0050.0016.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.703.601.492.4616.36
DBC
Invesco DB Commodity Index Tracking Fund
0.060.191.020.020.14
GLD
SPDR Gold Trust
2.954.031.523.8919.49
IEF
iShares 7-10 Year Treasury Bond ETF
1.382.021.240.444.88
TLT
iShares 20+ Year Treasury Bond ETF
1.031.531.180.342.96
TIP
iShares TIPS Bond ETF
1.922.911.350.7211.10
SHY
iShares 1-3 Year Treasury Bond ETF
3.044.971.651.9121.67

Sharpe Ratio

The current Ray Dalio All Weather Portfolio Sharpe ratio is 2.81. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.14 to 2.86, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Ray Dalio All Weather Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.81
2.68
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ray Dalio All Weather Portfolio granted a 2.53% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Ray Dalio All Weather Portfolio2.53%2.43%2.94%1.75%1.10%1.74%2.09%1.63%1.55%1.29%1.57%1.49%
VTI
Vanguard Total Stock Market ETF
1.32%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
DBC
Invesco DB Commodity Index Tracking Fund
4.73%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
GLD
SPDR Gold Trust
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
3.36%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
TLT
iShares 20+ Year Treasury Bond ETF
3.85%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
TIP
iShares TIPS Bond ETF
2.70%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
SHY
iShares 1-3 Year Treasury Bond ETF
3.78%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.94%
-0.20%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

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 0.94%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.27%May 21, 2008201Mar 9, 2009187Dec 2, 2009388
-18%Nov 10, 2021238Oct 20, 2022431Jul 11, 2024669
-13.81%Feb 24, 202018Mar 18, 202050May 29, 202068
-7.7%Apr 20, 2015192Jan 21, 201680May 16, 2016272
-6.57%Aug 30, 201880Dec 24, 201836Feb 15, 2019116

Volatility

Volatility Chart

The current Ray Dalio All Weather Portfolio volatility is 1.49%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.49%
2.91%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

DBCVTIGLDSHYTIPTLTIEF
DBC1.000.340.35-0.090.05-0.19-0.17
VTI0.341.000.07-0.21-0.12-0.29-0.29
GLD0.350.071.000.250.300.190.23
SHY-0.09-0.210.251.000.610.600.76
TIP0.05-0.120.300.611.000.730.78
TLT-0.19-0.290.190.600.731.000.92
IEF-0.17-0.290.230.760.780.921.00
The correlation results are calculated based on daily price changes starting from Feb 6, 2006