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 2024-04-25 (16y 24d)

Returns (annualized)

Portfolio	5.81%
Benchmark	5.63%

Risk (annualized)

Portfolio	8.02%
Benchmark	12.27%

Sharpe (annualized)

Portfolio	0.62
Benchmark	0.43

Excess Return (annualized)

0.18%

Tracking Error (annualized)

9.84%

Risk Free Rate (annualized)

0.98%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

5.27

Skew

-0.18

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Duration Factor	1.0045	1.0045
Market Factor	0.3340	0.3340
Size Factor	-0.0171	-0.0171
Style Factor	0.0113	0.0113
U.S. Tilt (Non U.S.)	0.0676	0.0676
Yield Curve Factor	0.1751	0.1751

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00