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 2025-04-22 (17y 21d)

Returns (annualized)

Portfolio	5.88%
Benchmark	5.71%

Risk (annualized)

Portfolio	8.12%
Benchmark	12.20%

Sharpe (annualized)

Portfolio	0.60
Benchmark	0.42

Excess Return (annualized)

0.17%

Tracking Error (annualized)

9.66%

Information Ratio

0.02

Statistic	Portfolio	Benchmark
Downside Volatility	8.47%	12.83%
Sortino Ratio	0.57	0.40
Calmar Ratio	0.21	0.14
Ulcer Index	15.28	15.12
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,888	$-2,838
VaR (99.9% Confidence)	$-2,508	$-3,769
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

-0.13

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark
Duration Factor	1.0049	1.0049
Market Factor	0.3358	0.3358
Size Factor	-0.0168	-0.0168
Style Factor	0.0077	0.0077
U.S. Tilt (Non U.S.)	0.0681	0.0681
Yield Curve Factor	0.1770	0.1770

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00