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 2025-08-08 to 2025-12-29 (4m 21d)

Returns

Portfolio	6.52%
Benchmark	6.82%

Risk (annualized)

Portfolio	5.68%
Benchmark	6.91%

Sharpe (annualized)

Portfolio	2.20
Benchmark	1.92

Excess Return

-0.30%

Tracking Error (annualized)

4.14%

Information Ratio

-0.20

Statistic	Portfolio	Benchmark
Downside Volatility	5.35%	7.42%
Sortino Ratio	2.34	1.79
Calmar Ratio	5.32	4.06
Ulcer Index	15.79	15.79
Max Drawdown	2.35%	3.28%
VaR (99% Confidence)	$-1,315	$-1,600
VaR (99.9% Confidence)	$-1,747	$-2,125
Beta to Benchmark	0.66	N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.04

Skew

0.05

Data Table

Factor Coefficients
Factor	Portfolio	Benchmark	Excess
Duration Factor	0.9580	0.3257	0.6324
Inflation Factor	0.1871	0.0345	0.1526
Market Factor	0.3383	0.6175	-0.2792
Size Factor	0.0074	0.0032	0.0042
Style Factor	-0.0259	-0.0030	-0.0230
U.S. Tilt (Non U.S.)	-0.0323	-0.0080	-0.0243
Yield Curve Factor	0.1719	0.0171	0.1548

Adjusted R²

Portfolio	0.88
Benchmark	1.00

Intercept

Portfolio	0.00
Benchmark	0.00