Last Update: 31 March 2021
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 7.15% compound annual return, with a 5.94% 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:
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 | -1.18 | -3.71 | -0.25 | +9.73 | +8.65 | +7.23 | +7.15 |
| Components | |||||||
| VTI - Vanguard Total Stock Market | +3.65 | +6.54 | +22.26 | +62.90 | +17.17 | +16.69 | +13.80 |
| TLT - iShares 20+ Year Treasury Bond | -5.24 | -13.92 | -16.49 | -16.74 | +5.78 | +3.02 | +6.66 |
| IEI - iShares 3-7 Year Treasury Bond | -0.84 | -2.20 | -2.38 | -1.65 | +4.22 | +2.21 | +2.70 |
| GLD - SPDR Gold Trust | -1.14 | -10.32 | -9.69 | +8.04 | +8.34 | +6.34 | +1.35 |
| GSG - iShares S&P GSCI Commodity Indexed Trust | -1.90 | +13.30 | +29.95 | +50.22 | -5.68 | +0.26 | -9.37 |
- 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 Mar 2021 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-1.18%
|
-1.18%
Mar 2021 - Mar 2021
|
0 - 1 | |
|
3M
|
-3.71%
|
-3.71%
Jan 2021 - Mar 2021
|
0 - 3 | |
|
6M
|
-0.25%
|
-3.71%
Jan 2021 - Mar 2021
|
2 - 4 | |
|
YTD
|
-3.71%
|
-3.71%
Jan 2021 - Mar 2021
|
0 - 3 | |
|
1Y
|
+9.73%
|
8.08%
|
-3.74%
Aug 2020 - Oct 2020
|
6 - 6 |
|
3Y
|
+8.65%
annualized
|
6.96%
|
-4.76%
Sep 2018 - Dec 2018
|
23 - 13 |
|
5Y
|
+7.23%
annualized
|
6.39%
|
-6.47%
Aug 2016 - Nov 2016
|
40 - 20 |
|
10Y
|
+7.15%
annualized
|
5.94%
|
-6.93%
Feb 2015 - Dec 2015
|
80 - 40 |
|
MAX
01 Jul 2002
|
+7.76%
annualized
|
6.88%
|
-12.19%
Jul 2008 - Feb 2009
|
152 - 73 |
* 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 |
+8.75% | 50 | 50 | 0 | Compare | |
| Stocks/Bonds 40/60 |
+7.66% | 40 | 60 | 0 | Compare | |
| All Weather Portfolio Ray Dalio |
+7.15% | 30 | 55 | 15 | ||
| Robo Advisor 50 Betterment |
+6.91% | 49.9 | 50.1 | 0 | Compare | |
| Edge Select Moderately Conservative Merrill Lynch |
+6.75% | 37 | 63 | 0 | Compare |
Capital Growth
Drawdowns
Rolling Returns ( more details)
Ray Dalio All Weather Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+8.07% |
+20.18% Apr 2003 - Mar 2004 |
-11.58% Mar 2008 - Feb 2009 |
10.28% |
| 2 Years |
+7.68% |
+16.43% Jan 2019 - Dec 2020 |
-0.97% Mar 2007 - Feb 2009 |
0.99% |
| 3 Years |
+7.41% |
+15.92% Mar 2009 - Feb 2012 |
+1.77% Mar 2006 - Feb 2009 |
0.00% |
| 5 Years |
+7.26% |
+11.47% Mar 2009 - Feb 2014 |
+4.08% Mar 2004 - Feb 2009 |
0.00% |
| 7 Years |
+7.36% |
+9.24% Jul 2009 - Jun 2016 |
+4.37% Jan 2012 - Dec 2018 |
0.00% |
| 10 Years |
+7.55% |
+9.54% Aug 2002 - Jul 2012 |
+6.03% Jan 2009 - Dec 2018 |
0.00% |
| 15 Years |
+7.29% |
+7.80% Aug 2002 - Jul 2017 |
+6.54% Jan 2004 - 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
| Months | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average | 0.5 | 0.5 | 0.3 | 1.0 | 0.7 | 0.3 | 0.7 | 1.5 | 0.4 | -0.3 | 1.2 | 0.9 |
| Best |
3.6 2019 |
2.5 2014 |
4.3 2009 |
3.9 2020 |
6.0 2003 |
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 |
-4.8 2004 |
-2.6 2013 |
-2.6 2013 |
-3.9 2003 |
-1.9 2015 |
-2.4 2014 |
-8.6 2008 |
-2.9 2016 |
-2.0 2009 |
| Gain Frequency |
74 | 74 | 53 | 78 | 72 | 61 | 63 | 79 | 47 | 58 | 79 | 74 |
Detail of Monthly Returns
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2021 |
-3.71% | -1.5 | -1.1 | -1.2 | |||||||||
| 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 |
| 2006 |
+6.93% | 1.3 | -0.1 | -1.1 | 0.7 | -1.2 | -0.1 | 1.6 | 1.8 | 0.7 | 1.9 | 2.8 | -1.5 |
| 2005 |
+8.55% | 0.6 | 0.6 | -0.7 | 0.9 | 2.3 | 1.6 | -0.3 | 2.2 | -0.6 | -2.4 | 2.1 | 2.1 |
| 2004 |
+9.41% | 1.6 | 2.1 | 1.3 | -4.8 | 0.6 | 0.8 | -0.2 | 2.3 | 1.6 | 1.8 | 0.6 | 1.6 |
| 2003 |
+13.96% | -0.1 | 1.2 | -1.5 | 2.9 | 6.0 | -0.9 | -3.9 | 2.2 | 2.8 | 1.0 | 0.9 | 2.9 |
* 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:
TLT - iShares 20+ Year Treasury Bond: simulated historical serie, up to December 2002
IEI - iShares 3-7 Year Treasury Bond: simulated historical serie, up to December 2007
GLD - SPDR Gold Trust: simulated historical serie, up to December 2004
GSG - iShares S&P GSCI Commodity Indexed Trust: simulated historical serie, up to December 2006