The Ray Dalio All Weather Portfolio is exposed for 30% on the Stock Market and for 15% on Commodities.

It's a Medium Risk portfolio and it can be replicated with 5 ETFs.

In the last 10 years, the portfolio obtained a 7.65% compound annual return, with a 5.61% standard deviation (Last Update: October 2019).

Asset Allocation and ETFs

The Ray Dalio All Weather Portfolio has the following asset allocation:

30% Stocks
55% Fixed Income
15% Commodities

The Ray Dalio All Weather Portfolio can be replicated with the following ETFs:

Weight Ticker ETF Name Investment Themes
30.00 % VTI Vanguard Total Stock Market Equity, U.S., Large Cap
40.00 % TLT iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
15.00 % IEI iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term
7.50 % GLD SPDR Gold Trust Commodity, Gold
7.50 % GSG iShares S&P GSCI Commodity Indexed Trust Commodity, Broad Diversified

Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).

Historical Returns

Ray Dalio All Weather Portfolio - Historical returns and stats:

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Range Returns
Oct 2019
Standard
Deviation *
Max
Drawdown
Months
Pos - Neg
1M
+0.48%
0.00%
1 - 0
YTD
+16.95%
-0.82%
Sep 2019 - Sep 2019
9 - 1
1Y
+16.91%
5.75%
-0.82%
Sep 2019 - Sep 2019
10 - 2
3Y
+7.26%
annualized
5.71%
-4.76%
Sep 2018 - Dec 2018
26 - 10
5Y
+5.64%
annualized
5.84%
-6.93%
Feb 2015 - Dec 2015
38 - 22
10Y
+7.65%
annualized
5.61%
-6.93%
Feb 2015 - Dec 2015
81 - 39
MAX
Dec 2006
+7.00%
annualized
7.04%
-12.19%
Jul 2008 - Feb 2009
104 - 50

* Annualized St.Dev. of monthly returns

Best Medium Risk Porftolios, ordered by 10Y annualized return.

Portfolio 10Y Return ▾ #ETF Stocks Bonds Comm.
Couch Potato
Scott Burns
+8.64% 2 50 50 0
Stocks/Bonds 40/60
+7.76% 2 40 60 0
All Weather Portfolio
Ray Dalio
+7.65% 5 30 55 15
Edge Select Moderately Conservative
Merrill Lynch
+6.93% 12 37 63 0
Lifepath Fund
iShares
+6.71% 6 40.42 59.58 0

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Rolling Returns

Ray Dalio All Weather Portfolio: annualized rolling and average returns

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Return (*) Negative
Periods
Rolling Period Average Best Worst
1 Year
+6.76% +19.42%
Feb 2011 - Jan 2012
-11.58%
Mar 2008 - Feb 2009
15.38%
2 Years
+6.66% +15.73%
Feb 2010 - Jan 2012
-0.97%
Mar 2007 - Feb 2009
1.53%
3 Years
+6.94% +15.92%
Mar 2009 - Feb 2012
+2.83%
Mar 2015 - Feb 2018
0.00%
5 Years
+7.11% +11.47%
Mar 2009 - Feb 2014
+4.30%
Feb 2012 - Jan 2017
0.00%
7 Years
+7.02% +9.24%
Jul 2009 - Jun 2016
+4.37%
Jan 2012 - Dec 2018
0.00%
10 Years
+6.90% +7.93%
Jul 2009 - Jun 2019
+6.03%
Jan 2009 - Dec 2018
0.00%

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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Months
Year Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019
+16.95% 3.6 0.8 2.8 0.6 0.2 3.6 0.5 4.2 -0.8 0.5
2018
-3.19% 0.6 -2.9 0.8 -0.5 1.8 0.3 -0.0 1.6 -0.9 -3.9 0.6 -0.6
2017
+11.47% 1.2 2.0 -0.6 1.0 1.0 0.3 0.8 1.8 -0.4 0.9 1.3 1.5
2016
+5.86% 0.8 2.1 2.2 1.0 0.4 3.9 1.4 -0.6 -0.2 -2.9 -2.9 0.7
2015
-3.72% 3.5 -1.3 -0.4 -0.5 -0.7 -2.3 0.8 -1.9 -0.4 2.2 -1.3 -1.3
2014
+12.52% 1.9 2.5 0.1 1.1 1.7 1.3 -1.1 3.3 -2.4 1.6 1.5 0.7
2013
+2.15% 0.6 0.2 1.3 1.5 -2.6 -2.6 2.0 -1.2 1.2 2.0 -0.3 0.1
2012
+6.72% 2.5 0.4 -1.1 1.7 0.0 0.7 2.4 1.2 -0.0 -1.3 0.9 -0.8
2011
+15.59% -0.8 2.4 0.5 3.1 0.5 -2.1 2.2 3.2 1.8 2.0 1.1 0.9
2010
+12.53% -0.4 1.6 1.0 2.8 -1.0 1.2 1.6 2.6 2.3 -0.2 -0.4 1.1
2009
+2.34% -8.2 -4.2 4.3 -0.1 2.7 -0.2 3.1 2.2 2.7 -1.1 3.9 -2.0
2008
+1.34% 0.2 0.6 0.1 0.3 0.1 0.2 -1.7 0.2 -2.3 -8.6 5.5 7.5
2007
+11.88% 0.1 1.6 -0.3 1.8 -0.2 -0.9 1.0 1.3 2.8 2.4 1.0 0.6

* Note:
Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

IEI - iShares 3-7 Year Treasury Bond: simulated historical serie, up to December 2007

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