Ray Dalio's All Weather Portfolio

Specification

Policy

Rebalancing Interval	Quarterly
Weights Algorithm	Constant Weights

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%

Benchmark

Simple 60/40

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 2024-12-12 (16y 8m 11d)

Returns (annualized)

Portfolio	6.20%
Benchmark	6.12%

Risk (annualized)

Portfolio	8.01%
Benchmark	12.12%

Sharpe (annualized)

Portfolio	0.65
Benchmark	0.46

Excess Return (annualized)

0.09%

Tracking Error (annualized)

9.71%

Information Ratio

0.01

Statistic	Portfolio	Benchmark
Downside Volatility	8.36%	12.76%
Sortino Ratio	0.62	0.43
Calmar Ratio	0.23	0.15
Ulcer Index	15.28	15.11
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,863	$-2,820
VaR (99.9% Confidence)	$-2,475	$-3,746
Beta to Benchmark	0.40	N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.07

Skew

-0.18

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Duration Factor	1.0041	1.0041
Market Factor	0.3343	0.3343
Size Factor	-0.0168	-0.0168
Style Factor	0.0092	0.0092
U.S. Tilt (Non U.S.)	0.0665	0.0665
Yield Curve Factor	0.1747	0.1747

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00