All Weather Portfolio Backtest
Historical backtest of the retail All Seasons approximation of Ray Dalio's All Weather: 30% stocks (VTI), 40% long Treasuries (TLT), 15% intermediate Treasuries (IEF), 7.5% gold (GLD), 7.5% commodities (DBC), rebalanced annually.
Assumptions
- All Seasons (VTI/TLT/IEF/GLD/DBC): 7.5% DBC, 7.5% GLD, 15% IEF, 40% TLT, 30% VTI, rebalanced annually.
- Total-return prices (dividends reinvested), annual rebalancing, no taxes, fees, or cash flows.
Results
| Portfolio | CAGR | Max drawdown | Volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| All Seasons (VTI/TLT/IEF/GLD/DBC) | 6.6% | -24.0% | 8.1% | 0.62 | 0.88 | 0.27 |
Growth of $10,000
Run it yourself
Open this exact allocation in the live Portfolio Backtest tool to change the date range, add cash flows, compare against other portfolios, or switch on tax-aware mode. Free to run, no sign-up required.
Open All Seasons (VTI/TLT/IEF/GLD/DBC) in the backtesterBack to all portfolio backtests
Historical simulation computed by the ArthaPilot backtest engine with total-return (dividends reinvested) prices and annual rebalancing, before taxes and fees. Past performance does not predict future results. This page is educational and is not investment, tax, or legal advice.