Data Source: from January 1871 to December 2022
Consolidated Returns as of 31 December 2022

Managing the Ray Dalio All Weather Portfolio with a yearly rebalancing, you would have obtained a 7.26% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.24%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Dec 31, 2022

Implementing different rebalancing strategies, the Ray Dalio All Weather Portfolio guaranteed the following returns.

According to the available data source, let's assume we built the portfolio on January 1871.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
RAY DALIO ALL WEATHER PORTFOLIO RETURNS
Period: January 1871 - December 2022
Swipe left to see all data
 
Return (%) and number of rebalances as of Dec 31, 2022
Rebalancing Strategy 1Y 5Y(*) 10Y(*) 30Y(*) (**)Since
Inception
Yearly Rebalancing -18.03 (1) 3.06 (5) 4.27 (10) 7.26 (30) 6.26 (152)
Half Yearly Rebalancing -18.05 (2) 3.31 (10) 4.34 (20) 7.21 (60) 6.25 (304)
Quarterly Rebalancing -18.54 (4) 3.57 (20) 4.36 (40) 7.24 (120) 6.26 (608)
5% Tolerance per asset -18.05 (1) 3.64 (4) 4.46 (7) 7.08 (16) 6.31 (85)
10% Tolerance per asset -18.03 (1) 3.15 (1) 4.48 (3) 7.04 (5) 6.38 (27)
(*) Returns over 1 year are annualized
(**) Since Jan 1871 (~152 yrs) | Annualized Returns

In order to have complete information about the portfolio, please refer to the Ray Dalio All Weather Portfolio: ETF allocation and returns page.

Performances as of Dec 31, 2022

Historical returns and stats of Ray Dalio All Weather Portfolio, after implementing different rebalancing strategies.

RAY DALIO ALL WEATHER PORTFOLIO PERFORMANCES
Period: January 1871 - December 2022
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy (*)Return (%) StDev(%) Ret/StDev MaxDD(%) Ret/MaxDD
Yearly Rebalancing 6.26 (152) 6.49 0.97 -37.02 0.17
Half Yearly Rebalancing 6.25 (304) 6.56 0.95 -36.47 0.17
Quarterly Rebalancing 6.26 (608) 6.59 0.95 -36.89 0.17
5% Tolerance per asset 6.31 (85) 6.60 0.96 -37.33 0.17
10% Tolerance per asset 6.38 (27) 6.65 0.96 -35.02 0.18
(*) Since Jan 1871 (~152 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Dec 31, 2022

Historical Drawdowns of Ray Dalio All Weather Portfolio, after implementing different rebalancing strategies.

RAY DALIO ALL WEATHER PORTFOLIO DRAWDOWNS
Period: January 1871 - December 2022
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-37.02
Sep 1929 - Apr 1935
-36.47
Sep 1929 - Aug 1933
-36.89
Sep 1929 - Jun 1933
-37.33
Sep 1929 - Jan 1934
-35.02
Sep 1929 - Jun 1933
-20.19
Jan 2022 - In progress
-20.11
Jan 2022 - In progress
-20.52
Jan 2022 - In progress
-20.04
Jan 2022 - In progress
-20.19
Jan 2022 - In progress
-17.43
Mar 1937 - Mar 1940
-17.85
Mar 1937 - Mar 1940
-18.12
Mar 1937 - Dec 1939
-18.10
Mar 1937 - Mar 1940
-17.96
Mar 1937 - Jun 1941
-12.98
Dec 1968 - Dec 1970
-13.02
Dec 1968 - Dec 1970
-13.48
Jun 2008 - Nov 2009
-15.15
Jul 2008 - Apr 2010
-14.64
Jul 2008 - Nov 2009
-12.31
Dec 1980 - Aug 1982
-12.02
Jan 2009 - Sep 2009
-13.07
Dec 1968 - Dec 1970
-12.79
Dec 1968 - Dec 1970
-14.02
Dec 1968 - Jan 1971
5 Worst Drawdowns - Average
-19.99 -19.89 -20.42 -20.69 -20.36
10 Worst Drawdowns - Average
-15.29 -15.57 -15.61 -15.67 -15.78

For a deeper insight, please refer to the Ray Dalio All Weather Portfolio: ETF allocation and returns page.

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