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

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 2025-06-12 (17y 2m 11d)

Returns (annualized)

Portfolio	6.14%
Benchmark	6.16%

Risk (annualized)

Portfolio	8.11%
Benchmark	12.17%

Sharpe (annualized)

Portfolio	0.63
Benchmark	0.45

Excess Return (annualized)

-0.02%

Tracking Error (annualized)

9.63%

Information Ratio

0.00

Statistic	Portfolio	Benchmark
Downside Volatility	8.46%	12.81%
Sortino Ratio	0.60	0.43
Calmar Ratio	0.22	0.15
Ulcer Index	15.28	15.12
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,887	$-2,831
VaR (99.9% Confidence)	$-2,506	$-3,761
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

5.36

Skew

-0.13

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Duration Factor	1.0310	1.0310
Inflation Factor	0.1031	0.1031
Market Factor	0.3304	0.3304
Size Factor	-0.0182	-0.0182
Style Factor	0.0062	0.0062
U.S. Tilt (Non U.S.)	0.0689	0.0689
Yield Curve Factor	0.1738	0.1738

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	-0.00
Benchmark	0.00