Ray Dalio All Weather Portfolio: ETF allocation and returns

Last Update: 31 December 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 7.77% compound annual return, with a 5.89% standard deviation.

In 2020, the portfolio granted a 1.40% dividend yield. If you are interested in getting periodic income, please refer to the Ray Dalio All Weather Portfolio: Dividend Yield page.

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

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns

The Ray Dalio All Weather Portfolio guaranteed the following returns.

RAY DALIO ALL WEATHER PORTFOLIO RETURNS (%)

Last Update: 31 December 2020

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	1M	3M	6M	1Y	*3Y^()**	*5Y^()**	*10Y^()**
Ray Dalio All Weather Portfolio	+1.76	+3.60	+6.84	+14.68	+9.49	+9.14	+7.77
*Components*
VTI - Vanguard Total Stock Market	+4.68	+14.75	+25.36	+21.03	+14.45	+15.44	+13.77
TLT - iShares 20+ Year Treasury Bond	-1.23	-2.98	-3.05	+18.15	+9.88	+7.95	+8.12
IEI - iShares 3-7 Year Treasury Bond	+0.11	-0.18	+0.01	+6.95	+4.64	+3.26	+2.92
GLD - SPDR Gold Trust	+7.01	+0.70	+6.57	+24.81	+12.99	+11.94	+2.55
GSG - iShares S&P GSCI Commodity Indexed Trust	+5.84	+14.70	+18.90	-23.94	-8.85	-2.83	-9.67

(*) annualized

Portfolio returns are calculated assuming:

a rebalancing of the components at the beginning of each year (i.e. at every January 1st)
the reinvestment of dividends

If you are interested in getting periodic income, please refer to the Ray Dalio All Weather Portfolio: Dividend Yield page.

Historical Returns

Ray Dalio All Weather Portfolio - Historical returns and stats.

RAY DALIO ALL WEATHER PORTFOLIO

Last Update: 31 December 2020

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Period	Returns Dec 2020	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+1.76%		0.00%	1 - 0
3M	+3.60%		-2.31% Oct 2020 - Oct 2020	2 - 1
6M	+6.84%		-3.74% Aug 2020 - Oct 2020	3 - 3
YTD	+14.68%	8.09%	-3.74% Aug 2020 - Oct 2020	8 - 4
1Y	+14.68%	8.09%	-3.74% Aug 2020 - Oct 2020	8 - 4
3Y	+9.49% annualized	6.98%	-4.76% Sep 2018 - Dec 2018	25 - 11
5Y	+9.14% annualized	6.28%	-6.47% Aug 2016 - Nov 2016	43 - 17
10Y	+7.77% annualized	5.89%	-6.93% Feb 2015 - Dec 2015	82 - 38
MAX 01 Jan 2007	+7.52% annualized	7.10%	-12.19% Jul 2008 - Feb 2009	114 - 54

* Annualized St.Dev. of monthly returns

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

Portfolio	10Y Return ▾	Stocks	Bonds	Comm.
Couch Potato Scott Burns	+8.93%	50	50	0	Compare
Stocks/Bonds 40/60	+7.90%	40	60	0	Compare
All Weather Portfolio Ray Dalio	+7.77%	30	55	15
Robo Advisor 50 Betterment	+6.98%	49.9	50.1	0	Compare
Edge Select Moderately Conservative Merrill Lynch	+6.93%	37	63	0	Compare

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since December 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
-3.74%	Aug 2020	Oct 2020	3	Nov 2020	1	4
-2.85%	Feb 2018	Feb 2018	1	Aug 2018	6	7
-2.44%	Sep 2014	Sep 2014	1	Nov 2014	2	3
-2.34%	Mar 2020	Mar 2020	1	Apr 2020	1	2
-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
-0.82%	Sep 2019	Sep 2019	1	Nov 2019	2	3
-0.77%	Jan 2011	Jan 2011	1	Feb 2011	1	2
-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
-3.74%	Aug 2020	Oct 2020	3	Nov 2020	1	4
-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
-2.34%	Mar 2020	Mar 2020	1	Apr 2020	1	2
-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

Rolling Returns ( more details)

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	+7.45%	+19.42% Feb 2011 - Jan 2012	-11.58% Mar 2008 - Feb 2009	14.01%
2 Years	+7.09%	+16.43% Jan 2019 - Dec 2020	-0.97% Mar 2007 - Feb 2009	1.38%
3 Years	+7.16%	+15.92% Mar 2009 - Feb 2012	+2.83% Mar 2015 - Feb 2018	0.00%
5 Years	+7.08%	+11.47% Mar 2009 - Feb 2014	+4.30% Feb 2012 - Jan 2017	0.00%
7 Years	+6.97%	+9.24% Jul 2009 - Jun 2016	+4.37% Jan 2012 - Dec 2018	0.00%
10 Years	+7.11%	+8.11% Aug 2010 - Jul 2020	+6.03% Jan 2009 - Dec 2018	0.00%

* Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the Ray Dalio All Weather Portfolio: Rolling Returns page.

Seasonality and Yearly/Monthly Returns

Ray Dalio All Weather Portfolio Seasonality

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	Months
Return (%)	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Average	0.6	0.4	0.6	1.3	0.4	0.3	1.3	1.3	0.1	-0.6	1.1	0.8
Best	3.6 2019	2.5 2014	4.3 2009	3.9 2020	2.7 2009	3.9 2016	4.7 2020	4.2 2019	2.8 2007	2.4 2007	5.5 2008	7.5 2008
Worst	-8.2 2009	-4.2 2009	-2.3 2020	-0.5 2015	-2.6 2013	-2.6 2013	-1.7 2008	-1.9 2015	-2.4 2014	-8.6 2008	-2.9 2016	-2.0 2009
Gain Frequency	79	79	64	79	71	64	79	71	36	50	71	71

Detail of Monthly Returns

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		Months
Year	Return	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	+14.68%	2.9	0.2	-2.3	3.9	1.4	1.3	4.7	-0.2	-1.3	-2.3	4.2	1.8
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