Last Update: 31 May 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 7.78% compound annual return, with a 5.60% standard deviation.
In 2019, the portfolio granted a 2.03% 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:
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 |
Portfolio and ETF Returns
The Ray Dalio All Weather Portfolio guaranteed the following returns.
| 1M | 3M | 6M | 1Y | 3Y(*) | 5Y(*) | 10Y(*) | |
|---|---|---|---|---|---|---|---|
| Ray Dalio All Weather Portfolio | +1.40 | +2.88 | +6.35 | +15.79 | +8.86 | +6.52 | +7.78 |
| Components | |||||||
| VTI - Vanguard Total Stock Market | +5.40 | +2.65 | -2.97 | +11.28 | +9.52 | +9.14 | +12.78 |
| TLT - iShares 20+ Year Treasury Bond | -1.76 | +5.77 | +17.58 | +26.65 | +12.25 | +8.54 | +8.43 |
| IEI - iShares 3-7 Year Treasury Bond | +0.32 | +2.94 | +6.65 | +8.94 | +4.41 | +3.25 | +3.15 |
| GLD - SPDR Gold Trust | +2.59 | +9.79 | +18.17 | +32.09 | +10.54 | +7.38 | +3.20 |
| GSG - iShares S&P GSCI Commodity Indexed Trust | +15.80 | -26.50 | -35.52 | -34.58 | -11.69 | -14.23 | -9.87 |
- 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.
| Period | Returns May 2020 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
+1.40%
|
0.00%
|
1 - 0 | |
|
3M
|
+2.88%
|
-2.34%
Mar 2020 - Mar 2020
|
2 - 1 | |
|
6M
|
+6.35%
|
-2.34%
Mar 2020 - Mar 2020
|
5 - 1 | |
|
YTD
|
+6.01%
|
-2.34%
Mar 2020 - Mar 2020
|
4 - 1 | |
|
1Y
|
+15.79%
|
6.65%
|
-2.34%
Mar 2020 - Mar 2020
|
10 - 2 |
|
3Y
|
+8.86%
annualized
|
5.96%
|
-4.76%
Sep 2018 - Dec 2018
|
27 - 9 |
|
5Y
|
+6.52%
annualized
|
6.01%
|
-6.47%
Aug 2016 - Nov 2016
|
41 - 19 |
|
10Y
|
+7.78%
annualized
|
5.60%
|
-6.93%
Feb 2015 - Dec 2015
|
83 - 37 |
|
MAX
01 Jan 2007
|
+7.23%
annualized
|
7.03%
|
-12.19%
Jul 2008 - Feb 2009
|
110 - 51 |
* 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 |
+8.35% | 2 | 50 | 50 | 0 | Compare | |
| All Weather Portfolio Ray Dalio |
+7.78% | 5 | 30 | 55 | 15 | ||
| Stocks/Bonds 40/60 |
+7.57% | 2 | 40 | 60 | 0 | Compare | |
| Permanent Portfolio Harry Browne |
+6.73% | 4 | 25 | 50 | 25 | Compare | |
| Edge Select Moderately Conservative Merrill Lynch |
+6.71% | 12 | 37 | 63 | 0 | Compare |
Capital Growth
Drawdowns
Rolling Returns
Ray Dalio All Weather Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+7.18% |
+19.42% Feb 2011 - Jan 2012 |
-11.58% Mar 2008 - Feb 2009 |
14.67% |
| 2 Years |
+6.77% |
+15.73% Feb 2010 - Jan 2012 |
-0.97% Mar 2007 - Feb 2009 |
1.45% |
| 3 Years |
+7.03% |
+15.92% Mar 2009 - Feb 2012 |
+2.83% Mar 2015 - Feb 2018 |
0.00% |
| 5 Years |
+7.01% |
+11.47% Mar 2009 - Feb 2014 |
+4.30% Feb 2012 - Jan 2017 |
0.00% |
| 7 Years |
+6.93% |
+9.24% Jul 2009 - Jun 2016 |
+4.37% Jan 2012 - Dec 2018 |
0.00% |
| 10 Years |
+7.02% |
+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
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2020 |
+6.01% | 2.9 | 0.2 | -2.3 | 3.9 | 1.4 | |||||||
| 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