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My Ray Dalio Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BLV 40%BIV 15%GLTR 7.5%COMT 7.5%VTI 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market

15%

BLV
Vanguard Long-Term Bond ETF
Total Bond Market

40%

COMT
iShares Commodities Select Strategy ETF
Commodities, Actively Managed

7.50%

GLTR
Aberdeen Standard Physical Precious Metals Basket Shares ETF
Precious Metals

7.50%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in My Ray Dalio 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


50.00%100.00%150.00%200.00%NovemberDecember2024FebruaryMarchApril
62.08%
166.66%
My Ray Dalio Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 16, 2014, corresponding to the inception date of COMT

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
My Ray Dalio Portfolio-0.37%-2.54%12.14%5.64%5.01%N/A
BLV
Vanguard Long-Term Bond ETF
-7.05%-4.32%10.55%-5.41%-1.39%1.63%
VTI
Vanguard Total Stock Market ETF
3.74%-5.13%18.55%21.46%12.17%11.62%
BIV
Vanguard Intermediate-Term Bond ETF
-3.08%-2.31%5.42%-0.65%0.39%1.67%
GLTR
Aberdeen Standard Physical Precious Metals Basket Shares ETF
14.33%11.15%18.10%10.95%10.55%4.23%
COMT
iShares Commodities Select Strategy ETF
9.61%3.23%-1.02%6.81%6.31%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.21%0.36%2.74%
2023-4.49%-2.76%7.49%5.00%

Expense Ratio

The My Ray Dalio Portfolio features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.60%
0.50%1.00%1.50%2.00%0.48%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


My Ray Dalio Portfolio
Sharpe ratio
The chart of Sharpe ratio for My Ray Dalio Portfolio, currently valued at 0.62, compared to the broader market-1.000.001.002.003.004.000.62
Sortino ratio
The chart of Sortino ratio for My Ray Dalio Portfolio, currently valued at 0.95, compared to the broader market-2.000.002.004.006.000.95
Omega ratio
The chart of Omega ratio for My Ray Dalio Portfolio, currently valued at 1.11, compared to the broader market0.801.001.201.401.601.801.11
Calmar ratio
The chart of Calmar ratio for My Ray Dalio Portfolio, currently valued at 0.28, compared to the broader market0.002.004.006.008.000.28
Martin ratio
The chart of Martin ratio for My Ray Dalio Portfolio, currently valued at 1.62, compared to the broader market0.0010.0020.0030.0040.001.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BLV
Vanguard Long-Term Bond ETF
-0.35-0.410.96-0.13-0.74
VTI
Vanguard Total Stock Market ETF
1.722.491.301.336.68
BIV
Vanguard Intermediate-Term Bond ETF
-0.05-0.021.00-0.02-0.11
GLTR
Aberdeen Standard Physical Precious Metals Basket Shares ETF
0.721.151.130.441.45
COMT
iShares Commodities Select Strategy ETF
0.340.561.070.180.81

Sharpe Ratio

The current My Ray Dalio Portfolio Sharpe ratio is 0.62. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.62

The Sharpe ratio of My Ray Dalio Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.62
1.66
My Ray Dalio Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

My Ray Dalio Portfolio granted a 3.11% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
My Ray Dalio Portfolio3.11%2.91%4.76%3.56%3.23%2.57%3.55%2.76%2.64%2.90%2.73%3.10%
BLV
Vanguard Long-Term Bond ETF
4.53%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%
VTI
Vanguard Total Stock Market ETF
1.44%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
BIV
Vanguard Intermediate-Term Bond ETF
3.42%3.09%2.41%3.42%2.95%2.75%2.88%2.69%2.38%3.02%3.96%4.22%
GLTR
Aberdeen Standard Physical Precious Metals Basket Shares ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
COMT
iShares Commodities Select Strategy ETF
4.74%5.19%29.79%17.79%0.36%2.61%11.65%5.16%0.52%1.43%0.55%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-9.42%
-5.46%
My Ray Dalio Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the My Ray Dalio 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 My Ray Dalio Portfolio was 23.10%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current My Ray Dalio Portfolio drawdown is 9.42%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.1%Nov 10, 2021238Oct 20, 2022
-19.2%Feb 24, 202019Mar 19, 202057Jun 10, 202076
-9.91%Feb 4, 2015242Jan 20, 201693Jun 2, 2016335
-7.57%Jan 29, 2018229Dec 24, 201837Feb 19, 2019266
-5.54%Aug 19, 201661Nov 14, 2016104Apr 17, 2017165

Volatility

Volatility Chart

The current My Ray Dalio Portfolio volatility is 2.12%, 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%NovemberDecember2024FebruaryMarchApril
2.12%
3.15%
My Ray Dalio 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.

VTICOMTGLTRBLVBIV
VTI1.000.370.13-0.05-0.06
COMT0.371.000.28-0.13-0.11
GLTR0.130.281.000.270.33
BLV-0.05-0.130.271.000.88
BIV-0.06-0.110.330.881.00