13F Portfolio Analysis — Ray Dalio | The All Weather Rule, and Bridgewater After Him

Can a portfolio keep working when the market changes?

We looked for the answer in Ray Dalio’s All Weather portfolio and in Bridgewater’s actual holdings.

During the 2008 global financial crisis, the S&P 500 fell about 37%. An All Weather portfolio built on Ray Dalio’s investment philosophy lost only about 0.3%.

The strategy of holding stocks, bonds, gold and commodities together to soften the blow in any economic situation did its job.

In 2022, though, the result was entirely different. The same All Weather portfolio fell 19.7%, a bigger loss than the S&P 500’s 18.2% decline.

The strategy had not changed. So why did the result?

Meanwhile, Bridgewater Associates, the firm where the All Weather philosophy was born, is changing too. Since Ray Dalio stepped back from running it, Bridgewater’s disclosed stock portfolio has looked quite different from the past.

In this piece we use DIVA Quantizer’s portfolio analysis models and Bridgewater’s SEC 13F filings to look at two changes.

The risk the market changed in All Weather, and the new risk Bridgewater chose for itself.

All Weather is an investment strategy that starts from the premise that future economic conditions are hard to predict accurately.

Different assets do well when the economy grows or contracts, and when prices rise or fall. So rather than betting on one economic environment, the idea is to hold assets that can respond to several.

For this analysis we used a typical All Weather portfolio: 30% in the stock ETF VTI, 40% in long-term Treasuries (TLT), 15% in intermediate Treasuries (IEF), 7.5% in gold (GLD) and 7.5% in commodities (DBC).

We also looked at a “Dalio’s stated mix” portfolio that raises gold to 15% and trims bonds. It is a hypothetical portfolio rebuilt from Dalio’s public comments on gold.

The two portfolios hold broadly similar assets. In DIVA’s analysis their market betas came out almost identical, at 0.53 and 0.52.

But their volatility and the structure of where risk arises were not exactly the same. In the stated mix, with more gold, bonds contribute less of the risk and gold carries a larger share of it.

One distinction matters here.

The share of money and the share of risk are different things.

Putting half the portfolio in bonds does not mean bonds create only half the risk. Portfolio risk depends not just on each asset’s price volatility, but also on how closely it moves with the other assets.

This is also where All Weather’s most important feature lies.

For a long time, stocks and bonds tended to move in opposite directions. When bonds rise as the stock market falls, they cushion the losses of the whole portfolio.

But that relationship does not always hold.

Looking at the 36-month rolling correlation between VTI and TLT, it stood at −0.79 at the end of 2012, a fairly strong negative correlation between stocks and bonds.

But from 2022 the correlation turned positive, rising to +0.69 by the end of 2024. In September 2026 it was still positive, at +0.52.

Stocks and bonds now tend to move in the same direction more than they used to.

In 2022 in particular, inflation and steep rate hikes pushed stock and bond prices down at the same time. In that environment the cushioning All Weather expected from bonds was bound to weaken.

Did this change also affect All Weather’s overall risk?

At the end of 2016, 72.1% of All Weather’s total risk came from bonds. By the end of 2020 the bonds’ risk contribution had fallen to 36.5%, while stocks took 49.9%.

After that the bonds’ share rose again, reaching 62.9% in June 2026.

The asset weights stayed the same throughout, but the actual distribution of risk kept changing.

That does not mean All Weather failed. It is still an asset allocation strategy prepared for different economic environments, and over the long run it has been less volatile than a stock-heavy portfolio.

One thing, though, is clear.

Fixing the asset mix and keeping the risk constant are two different things.

Even when you hold different assets, the diversification they provide can change when the market environment changes.

So what kind of portfolio is Bridgewater, where All Weather was born, running today?

Before looking, one fact needs pointing out.

Ray Dalio handed over control of Bridgewater in 2022 and sold all of his remaining stake in 2025. That is why Bridgewater’s current investment decisions are hard to equate with Dalio’s personal philosophy.

This time we analyzed how its disclosed holdings changed, using the 13F filings Bridgewater submits to the US Securities and Exchange Commission (SEC).

A 13F shows certain securities, such as US-listed stocks and ETFs, held by large institutional investors. It does not include cash, most bonds, non-reportable derivatives or short positions, so it does not show a manager’s whole portfolio.

Even with that caveat, Bridgewater’s disclosed stock portfolio shows an interesting shift.

At the end of 2019, Bridgewater’s 13F portfolio was built around ETFs.

US and developed-market index ETFs made up 35.8% and emerging-market ETFs 28.9%. Gold- and bond-related assets reached 18.1%.

It stood out as a book that invested in broad markets through ETFs rather than in individual companies.

By the end of 2022 it looked different again.

Stocks we classed as defensives, such as P&G, Johnson & Johnson, PepsiCo and Coca-Cola, rose to 32.2%. Companies in businesses less sensitive to the economic cycle, such as consumer staples and healthcare, had become the core of the portfolio.

Then Bridgewater changed direction again.

As of the end of June 2026, the defensive group had shrunk to 2.8%, while AI and semiconductor stocks had grown to 13.1%, a group that was just 0.1% at the end of 2019.

Semiconductor companies such as NVIDIA, Broadcom, Lam Research and AMD now appear among the top holdings.

Of course, the 13F alone cannot tell us why Bridgewater cut defensives and added chip stocks. Various hedging strategies or exposures that do not appear in the filing may exist alongside them.

Still, we can confirm that the character of the disclosed holdings has changed a great deal.

Looking at this shift through DIVA’s investment-profile models makes it even more interesting.

We rebuilt the top 30 13F holdings at each point and analyzed them on the same market data, June 2020 to June 2026.

The 2019 and 2022 portfolios were both classed by the Markowitz model as “The Impregnable Fortress”.

The 2026 portfolio, by contrast, came out as “The Veteran Foreman”.

Market beta also rose, from 0.76 in 2019 and 0.69 in 2022 to 1.12 in 2026. Placed in the same market environment, the recent holdings are more sensitive to the market’s ups and downs than the earlier ones.

Annualized volatility also rose, from 13.13% for the 2019 lineup to 19.40% for the 2026 lineup.

Note that these figures do not represent actual performance at each point. They are a hindsight comparison that evaluates holdings disclosed at different times on the same historical market data.

Even so, we can compare the character of each portfolio’s risk.

Where Bridgewater’s disclosed stock portfolio used to lean toward broad market exposure and defensive stocks, it has shifted toward a form more affected by the whole market’s moves and by the growth of the tech industry.

This shows that even the same manager’s portfolio can choose an entirely different risk over time.

So far we have looked at how the holdings changed. But the simple fact that there are more tech stocks is not enough to explain Bridgewater’s recent risk.

What matters is how each holding affects the whole portfolio.

To check, we built a hypothetical portfolio from Bridgewater’s top 13F holdings for the second quarter of 2026 and analyzed it with DIVA’s Markowitz and Fama-French models.

Analyzing Bridgewater’s 2026 top holdings over the same 2020–2026 period gave an estimated annualized return of 27.07%, volatility of 19.40% and a Sharpe ratio of 1.19.

That is both a higher return and a higher volatility than the All Weather portfolio over the same period.

These risk and return traits are also why the Markowitz model classes Bridgewater’s recent profile as “The Veteran Foreman”.

So what drives that high volatility?

In All Weather, bonds account for more than half of total risk. Bridgewater’s 2026 top holdings show something entirely different.

Of total risk, 39.8% came from index ETFs, 39.2% from AI and semiconductor stocks, and 12.8% from big tech.

AI and semiconductor stocks in particular were 22.8% of the portfolio’s weight, yet 39.2% of its risk.

They create far more risk than their share of the money.

Together, the AI and semiconductor group and the big tech group contribute 52.0% of the risk. More than half of the portfolio’s risk comes from these two groups.

The nature of index ETFs also needs to be considered.

US stock market ETFs such as SPY, IVV and VOO also contain major tech companies like NVIDIA, Microsoft and Apple. Even if individual companies and ETFs are held as separate assets, their underlying risk factors can overlap.

Holding many different stocks is not the same as investing in different risks.

Bridgewater’s recent disclosed portfolio makes that difference stand out.

That does not immediately make it a bad portfolio. Taking concentrated risk can come with a matching expected return. The question is whether you fully understand where that risk comes from.

To look one step further, we applied Fama-French factor analysis.

The Fama-French model explains a portfolio’s return through several factors: the moves of the whole market, company size, value tilt, profitability and investment style.

With it, you can go beyond “which stocks went up” and see which market characteristics a portfolio is exposed to.

With a market beta above 1, Bridgewater’s recent portfolio is relatively sensitive to the market’s overall rises and falls.

That does not mean the market alone explains all of its return. The individual traits and style factors of its holdings also affect the result.

The Markowitz and Fama-French models also answer different questions.

Where the Markowitz model evaluates a portfolio by its return, volatility and the relationships between assets, the Fama-French model analyzes which common factors its return is linked to.

So the investment profiles and verdicts from the two models need not match. The more angles you look from, the more you find traits that a single measure would miss.

In the end, Bridgewater’s recent disclosed stock portfolio has a risk structure quite different from All Weather’s.

Where All Weather seeks a mix of assets that respond to different economic environments, Bridgewater’s recent disclosed holdings are more heavily exposed to the US stock market and to tech-related companies.

Which is the better portfolio may depend on future market conditions.

But we can at least confirm that the two portfolios are not preparing for the same weather.

The two changes in this analysis started from different causes.

All Weather kept its weights, but the actual distribution of risk changed as the market environment changed.

Bridgewater, on the other hand, changed what it held and ended up with a different risk structure from before.

One change was made by the market; the other was chosen by the manager.

The lesson for investors is the same.

When you evaluate a portfolio, what risk its assets create matters as much as what it holds and how much.

A high share of bonds is not always defensive. Many holdings do not necessarily mean enough diversification. And a portfolio with risk concentrated in one industry can still be a reasonable choice if it fits the investor’s goals and capacity for risk.

What matters is not relying only on a portfolio’s name or its visible asset weights.

You need to look at how the assets you hold relate to one another, where your total risk comes from, and whether those relationships are shifting in today’s market.

The value of diversification that All Weather showed still holds. But its effect should not be judged by past experience or fixed weights alone.

Good asset allocation does not end with setting the weights; it is complete when you understand the risk those weights create.

With DIVA Quantizer you can see what risk your own portfolio carries, through Markowitz risk contribution, correlations between assets, Fama-French factor analysis and more.

Methodology and caveats

Sources: SEC EDGAR 13F-HR, Bridgewater Associates, yfinance, Ken French Data Library, DIVA Quantizer’s own analysis.

This article was written with the help of AI.