The Ray Dalio All Weather Portfolio is exposed for 30% on the Stock Market.
In the last 10 years, it obtained a 7.93% compound annual return, with a 5.62% standard deviation (*).
(*) Last Update: June 2019
The Ray Dalio All Weather Portfolio has the following asset allocation:
The Ray Dalio All Weather Portfolio can be replicated with the following ETFs:
| Weight | ETF: Ticker - 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 |
Capital growth, returns, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at each January 1st).
Last Update: June 2019.
Capital Growth and Historical Returns
An investment of 1000$, since January 2007, now would be worth 2282.34$, with a total return of 128.23% (6.82% annualized).
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
| Range | Returns Jun 2019 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
+3.56%
|
0.00%
|
1 - 0 | |
|
YTD
|
+12.09%
|
0.00%
|
6 - 0 | |
|
1Y
|
+8.47%
|
6.94%
|
-4.76%
Sep 2018 - Dec 2018
|
8 - 4 |
|
3Y
|
+4.93%
annualized
|
5.68%
|
-6.47%
Aug 2016 - Nov 2016
|
24 - 12 |
|
5Y
|
+5.00%
annualized
|
5.91%
|
-6.93%
Feb 2015 - Dec 2015
|
37 - 23 |
|
10Y
|
+7.93%
annualized
|
5.62%
|
-6.93%
Feb 2015 - Dec 2015
|
81 - 39 |
|
MAX
Dec 2006
|
+6.82%
annualized
|
7.05%
|
-12.19%
Jul 2008 - Feb 2009
|
101 - 49 |
* Annualized St.Dev. of monthly returns
Drawdowns
Rolling Returns
Ray Dalio All Weather Portfolio: annualized rolling and average returns
| Return (*) | |||
|---|---|---|---|
| Rolling Period | Average | Best | Worst |
| 1 Year |
+6.60% |
+19.42% Feb 2011 - Jan 2012 |
-11.58% Mar 2008 - Feb 2009 |
| 2 Years |
+6.62% |
+15.73% Feb 2010 - Jan 2012 |
-0.97% Mar 2007 - Feb 2009 |
| 3 Years |
+6.97% |
+15.92% Mar 2009 - Feb 2012 |
+2.83% Mar 2015 - Feb 2018 |
| 5 Years |
+7.18% |
+11.47% Mar 2009 - Feb 2014 |
+4.30% Feb 2012 - Jan 2017 |
| 7 Years |
+7.11% |
+9.24% Jul 2009 - Jun 2016 |
+4.37% Jan 2012 - Dec 2018 |
| 10 Years |
+6.80% |
+7.93% Jul 2009 - Jun 2019 |
+6.03% Jan 2009 - Dec 2018 |
* Annualized rolling and average returns over full calendar month periods
Yearly Returns - Monthly Returns Heatmap
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2019 |
+12.09% | 3.6 | 0.8 | 2.8 | 0.6 | 0.2 | 3.6 | ||||||
| 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 |