Ray Dalio All Weather Portfolio: ETF allocation and returns

Last Update: 31 January 2020

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 7.92% compound annual return, with a 5.49% standard deviation.

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

Historical Returns

Ray Dalio All Weather Portfolio - Historical returns and stats.

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

RAY DALIO ALL WEATHER PORTFOLIO

Last Update: 31 January 2020

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Period	Returns Jan 2020	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+2.88%		0.00%	1 - 0
3M	+3.99%		0.00%	3 - 0
6M	+7.96%		-0.82% Sep 2019 - Sep 2019	5 - 1
YTD	+2.88%		0.00%	1 - 0
1Y	+17.35%	5.22%	-0.82% Sep 2019 - Sep 2019	11 - 1
3Y	+9.05% annualized	5.48%	-4.76% Sep 2018 - Dec 2018	27 - 9
5Y	+5.28% annualized	5.76%	-6.93% Feb 2015 - Dec 2015	38 - 22
10Y	+7.92% annualized	5.49%	-6.93% Feb 2015 - Dec 2015	83 - 37
MAX 01 Jan 2007	+7.18% annualized	7.00%	-12.19% Jul 2008 - Feb 2009	107 - 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	+8.76%	2	50	50	0
All Weather Portfolio Ray Dalio	+7.92%	5	30	55	15
Stocks/Bonds 40/60	+7.87%	2	40	60	0
Robo Advisor 50 Betterment	+7.33%	10	49.9	50.1	0
Edge Select Moderately Conservative Merrill Lynch	+6.98%	12	37	63	0

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since January 2010.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-6.93%	Feb 2015	Dec 2015	11	Jun 2016	6	17
-6.47%	Aug 2016	Nov 2016	4	Aug 2017	9	13
-5.10%	May 2013	Jun 2013	2	Jan 2014	7	9
-4.76%	Sep 2018	Dec 2018	4	Mar 2019	3	7
-2.85%	Feb 2018	Feb 2018	1	Aug 2018	6	7
-2.44%	Sep 2014	Sep 2014	1	Nov 2014	2	3
-2.13%	Jun 2011	Jun 2011	1	Jul 2011	1	2
-1.36%	Sep 2012	Oct 2012	2	Mar 2013	5	7
-1.07%	Jul 2014	Jul 2014	1	Aug 2014	1	2
-1.05%	Mar 2012	Mar 2012	1	Apr 2012	1	2
-0.95%	May 2010	May 2010	1	Jun 2010	1	2
-0.82%	Sep 2019	Sep 2019	1	Nov 2019	2	3
-0.77%	Jan 2011	Jan 2011	1	Feb 2011	1	2
-0.66%	Oct 2010	Nov 2010	2	Dec 2010	1	3
-0.37%	Sep 2017	Sep 2017	1	Oct 2017	1	2

Worst drawdowns since December 2006.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-12.19%	Jul 2008	Feb 2009	8	Sep 2009	7	15
-6.93%	Feb 2015	Dec 2015	11	Jun 2016	6	17
-6.47%	Aug 2016	Nov 2016	4	Aug 2017	9	13
-5.10%	May 2013	Jun 2013	2	Jan 2014	7	9
-4.76%	Sep 2018	Dec 2018	4	Mar 2019	3	7
-2.85%	Feb 2018	Feb 2018	1	Aug 2018	6	7
-2.44%	Sep 2014	Sep 2014	1	Nov 2014	2	3
-2.41%	Dec 2009	Jan 2010	2	Mar 2010	2	4
-2.13%	Jun 2011	Jun 2011	1	Jul 2011	1	2
-1.36%	Sep 2012	Oct 2012	2	Mar 2013	5	7
-1.12%	Oct 2009	Oct 2009	1	Nov 2009	1	2
-1.10%	May 2007	Jun 2007	2	Aug 2007	2	4
-1.07%	Jul 2014	Jul 2014	1	Aug 2014	1	2
-1.05%	Mar 2012	Mar 2012	1	Apr 2012	1	2
-0.95%	May 2010	May 2010	1	Jun 2010	1	2
-0.82%	Sep 2019	Sep 2019	1	Nov 2019	2	3
-0.77%	Jan 2011	Jan 2011	1	Feb 2011	1	2
-0.66%	Oct 2010	Nov 2010	2	Dec 2010	1	3
-0.37%	Sep 2017	Sep 2017	1	Oct 2017	1	2
-0.25%	Mar 2007	Mar 2007	1	Apr 2007	1	2

Rolling Returns

Ray Dalio All Weather Portfolio: annualized rolling and average returns

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	*Return ()**			Negative Periods
Rolling Period	Average	Best	Worst	Negative Periods
1 Year	+6.98%	+19.42% Feb 2011 - Jan 2012	-11.58% Mar 2008 - Feb 2009	15.07%
2 Years	+6.68%	+15.73% Feb 2010 - Jan 2012	-0.97% Mar 2007 - Feb 2009	1.49%
3 Years	+6.98%	+15.92% Mar 2009 - Feb 2012	+2.83% Mar 2015 - Feb 2018	0.00%
5 Years	+7.06%	+11.47% Mar 2009 - Feb 2014	+4.30% Feb 2012 - Jan 2017	0.00%
7 Years	+6.98%	+9.24% Jul 2009 - Jun 2016	+4.37% Jan 2012 - Dec 2018	0.00%
10 Years	+6.95%	+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
2020	+2.88%	2.9
2019	+18.22%	3.6	0.8	2.8	0.6	0.2	3.6	0.5	4.2	-0.8	0.5	0.8	0.3
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