Ray Dalio Canadian All Weather Portfolio: Rebalancing Strategy

Data Source: from May 1994 to September 2024
Consolidated Returns as of 30 September 2024

Managing the Ray Dalio Canadian All Weather Portfolio with a yearly rebalancing, you would have obtained a 6.53% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.90%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Sep 30, 2024

Implementing different rebalancing strategies, the Ray Dalio Canadian All Weather Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on May 1994.

Portfolio returns are calculated in CAD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
RAY DALIO CANADIAN ALL WEATHER PORTFOLIO RETURNS
Period: May 1994 - September 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Sep 30, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~30Y)
No Rebalancing 21.23 (0) 3.62 (0) 4.18 (0) 6.53 (0) 6.43 (0)
Yearly Rebalancing 19.51 (1) 4.22 (5) 4.36 (10) 6.89 (30) 6.79 (30)
Half Yearly Rebalancing 19.34 (2) 4.30 (10) 4.42 (20) 6.90 (60) 6.80 (61)
Quarterly Rebalancing 19.62 (4) 4.33 (20) 4.42 (40) 6.90 (120) 6.81 (121)
5% Tolerance per asset 19.75 (0) 4.58 (4) 4.59 (6) 6.96 (18) 6.86 (18)
10% Tolerance per asset 20.27 (1) 4.09 (1) 4.42 (1) 6.92 (5) 6.82 (5)

In order to have complete information about the portfolio, please refer to the Ray Dalio Canadian All Weather Portfolio: ETF allocation and returns page.

Performances as of Sep 30, 2024

Historical returns and stats of Ray Dalio Canadian All Weather Portfolio, after implementing different rebalancing strategies.

RAY DALIO CANADIAN ALL WEATHER PORTFOLIO PERFORMANCES
Period: May 1994 - September 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 6.43 (0) 7.23 0.89 -14.22 0.45
Yearly Rebalancing 6.79 (30) 6.89 0.99 -13.38 0.51
Half Yearly Rebalancing 6.80 (61) 6.87 0.99 -12.67 0.54
Quarterly Rebalancing 6.81 (121) 6.90 0.99 -13.31 0.51
5% Tolerance per asset 6.86 (18) 6.91 0.99 -13.61 0.50
10% Tolerance per asset 6.82 (5) 7.07 0.97 -13.76 0.50
(*) Since May 1994 (~30 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Sep 30, 2024

Historical Drawdowns of Ray Dalio Canadian All Weather Portfolio, after implementing different rebalancing strategies.

RAY DALIO CANADIAN ALL WEATHER PORTFOLIO DRAWDOWNS
Period: May 1994 - September 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-14.22
Jul 2008 - Aug 2010
-13.38
Jul 2008 - Nov 2009
-12.67
Jul 2008 - Nov 2009
-13.31
Jul 2008 - Apr 2010
-13.61
Jul 2008 - Apr 2010
-13.76
Jul 2008 - May 2010
-14.19
Jan 2022 - Jul 2024
-11.51
Jan 2022 - Jul 2024
-11.51
Jan 2022 - Jul 2024
-11.79
Jan 2022 - Jul 2024
-11.18
Jan 2022 - Jul 2024
-12.67
Jan 2022 - Jul 2024
-11.74
Sep 2000 - May 2003
-10.21
Sep 2000 - May 2003
-9.83
Jun 1998 - Apr 1999
-9.80
Jun 1998 - Apr 1999
-10.17
Jun 1998 - Nov 1999
-10.13
Jun 1998 - Apr 1999
-10.13
Jun 1998 - Apr 1999
-10.03
Jun 1998 - Apr 1999
-9.81
Sep 2000 - May 2003
-9.76
Sep 2000 - May 2003
-9.80
Sep 2000 - May 2003
-10.08
Sep 2000 - Dec 2002
-6.29
Feb 2020 - May 2020
-6.31
Mar 2015 - Jun 2016
-6.29
Mar 2015 - Jun 2016
-6.28
Feb 2020 - May 2020
-6.50
Feb 2020 - May 2020
-6.58
Dec 2012 - Feb 2014
5 Worst Drawdowns - Average
-11.32 -10.29 -10.02 -10.19 -10.25 -10.65
10 Worst Drawdowns - Average
-8.22 -7.59 -7.45 -7.53 -7.53 -7.91

For a deeper insight, please refer to the Ray Dalio Canadian All Weather Portfolio: ETF allocation and returns page.