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 2025-10-17 (17y 6m 16d)

Returns (annualized)

Portfolio	6.49%
Benchmark	6.48%

Risk (annualized)

Portfolio	8.07%
Benchmark	12.09%

Sharpe (annualized)

Portfolio	0.66
Benchmark	0.48

Excess Return (annualized)

0.00%

Tracking Error (annualized)

9.56%

Information Ratio

0.00

Statistic	Portfolio	Benchmark
Downside Volatility	8.40%	12.72%
Sortino Ratio	0.64	0.45
Calmar Ratio	0.24	0.16
Ulcer Index	15.29	15.14
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,876	$-2,811
VaR (99.9% Confidence)	$-2,492	$-3,734
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

5.39

Skew

-0.14

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark	Excess
Duration Factor	1.0309	0.2906	0.7403
Inflation Factor	0.1045	0.0742	0.0304
Market Factor	0.3301	0.6051	-0.2750
Size Factor	-0.0183	-0.0006	-0.0178
Style Factor	0.0063	-0.0063	0.0126
U.S. Tilt (Non U.S.)	0.0689	-0.0103	0.0791
Yield Curve Factor	0.1738	0.0087	0.1652

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	-0.00
Benchmark	0.00