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 2025-08-05 (17y 4m 4d)

Returns (annualized)

Portfolio	6.23%
Benchmark	6.26%

Risk (annualized)

Portfolio	8.10%
Benchmark	12.14%

Sharpe (annualized)

Portfolio	0.64
Benchmark	0.46

Excess Return (annualized)

-0.03%

Tracking Error (annualized)

9.60%

Information Ratio

0.00

Statistic	Portfolio	Benchmark
Downside Volatility	8.44%	12.77%
Sortino Ratio	0.61	0.44
Calmar Ratio	0.23	0.15
Ulcer Index	15.28	15.13
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,883	$-2,823
VaR (99.9% Confidence)	$-2,501	$-3,750
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

5.37

Skew

-0.13

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark	Excess
Duration Factor	1.0309	0.2904	0.7406
Inflation Factor	0.1042	0.0743	0.0299
Market Factor	0.3301	0.6050	-0.2749
Size Factor	-0.0184	-0.0007	-0.0176
Style Factor	0.0066	-0.0063	0.0129
U.S. Tilt (Non U.S.)	0.0691	-0.0102	0.0794
Yield Curve Factor	0.1738	0.0086	0.1652

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	-0.00
Benchmark	0.00