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 2026-03-06 (17y 11m 5d)

Returns (annualized)

Portfolio	6.57%
Benchmark	6.47%

Risk (annualized)

Portfolio	8.04%
Benchmark	12.01%

Sharpe (annualized)

Portfolio	0.67
Benchmark	0.47

Excess Return (annualized)

0.09%

Tracking Error (annualized)

9.48%

Information Ratio

0.01

Statistic	Portfolio	Benchmark
Downside Volatility	8.38%	12.65%
Sortino Ratio	0.64	0.45
Calmar Ratio	0.24	0.15
Ulcer Index	15.30	15.15
Max Drawdown	22.75%	36.97%
VaR (99% Confidence)	$-1,870	$-2,793
VaR (99.9% Confidence)	$-2,484	$-3,710
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

5.37

Skew

-0.14

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark	Excess
Duration Factor	1.0302	0.2909	0.7393
Inflation Factor	0.1055	0.0739	0.0315
Market Factor	0.3299	0.6052	-0.2753
Size Factor	-0.0167	-0.0004	-0.0163
Style Factor	0.0060	-0.0063	0.0123
U.S. Tilt (Non U.S.)	0.0673	-0.0101	0.0774
Yield Curve Factor	0.1738	0.0087	0.1650

Adjusted R²

Portfolio	0.93
Benchmark	0.98

Intercept

Portfolio	0.00
Benchmark	0.00