Ray Dalio's All Weather Portfolio

Portfolio Specification

Assets

iShares 20+ Year Treasury Bond ETF (TLT)	40.00%
SPDR S&P 500 ETF Trust (SPY)	30.00%
iShares 3-7 Year Treasury Bond ETF (IEI)	15.00%
SPDR Gold Shares ETF (GLD)	7.50%
Invesco DB Commodity Index Tracking Fund (DBC)	7.50%

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Constant Weights

Benchmark

Simple 60/40

This portfolio is listed on the Community Portfolios page.

Portfolio Description

Based on an interpretation of Ray Dalio’s All Weather Portfolio by Oddmund Grotto at quantifiedstrategies.com

The construction has a notable U.S. bias in the equity and bond exposures which may impact relative returns within market cycles.

For a more risk-balanced exposure, consider an “equal-risk-weighting” approach rather than a static weight approach as used below.

Policy Report

Backtest Report

From 2008-04-01 to 2026-05-08 (18y 1m 7d)

Returns (annualized)

Portfolio	6.63%
Benchmark	6.74%

Risk (annualized)

Portfolio	8.04%
Benchmark	12.02%

Sharpe (annualized)

Portfolio	0.67
Benchmark	0.49

Excess Return (annualized)

-0.10%

Tracking Error (annualized)

9.46%

Information Ratio

-0.01

Statistic	Portfolio	Benchmark
Downside Volatility	8.38%	12.64%
Sortino Ratio	0.65	0.47
Calmar Ratio	0.24	0.16
Ulcer Index	15.30	15.15
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,870	$-2,795
VaR (99.9% Confidence)	$-2,484	$-3,712
Beta to Benchmark	0.41	N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.32

Skew

-0.15

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark	Excess
Duration Factor	1.0295	0.2912	0.7382
Inflation Factor	0.1070	0.0734	0.0336
Market Factor	0.3295	0.6053	-0.2759
Size Factor	-0.0173	-0.0003	-0.0170
Style Factor	0.0064	-0.0063	0.0127
U.S. Tilt (Non U.S.)	0.0681	-0.0104	0.0785
Yield Curve Factor	0.1732	0.0088	0.1645

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00