Consolidated Returns as of 30 September 2024
Managing the Ray Dalio All Weather Portfolio with a yearly rebalancing, you would have obtained a 10.64% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 7.71%.
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.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Sep 30, 2024
Implementing different rebalancing strategies, the Ray Dalio All Weather Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
| Return (%) and number of rebalances as of Sep 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~154Y) |
|||||
| No Rebalancing | 35.17 | (0) | 15.08 | (0) | 12.71 | (0) | 10.64 | (0) | 8.35 | (0) |
| Yearly Rebalancing | 20.38 | (1) | 4.63 | (5) | 5.41 | (10) | 7.79 | (30) | 6.34 | (154) |
| Half Yearly Rebalancing | 20.09 | (2) | 4.74 | (10) | 5.53 | (20) | 7.71 | (60) | 6.33 | (308) |
| Quarterly Rebalancing | 20.29 | (4) | 4.93 | (20) | 5.63 | (40) | 7.75 | (120) | 6.34 | (615) |
| 5% Tolerance per asset | 20.58 | (1) | 5.32 | (5) | 5.74 | (7) | 7.64 | (17) | 6.39 | (86) |
| 10% Tolerance per asset | 21.19 | (1) | 5.03 | (2) | 5.89 | (3) | 7.78 | (6) | 6.49 | (28) |
In order to have complete information about the portfolio, please refer to the Ray Dalio All Weather Portfolio: ETF allocation and returns page.
Performances as of Sep 30, 2024
Historical returns and stats of Ray Dalio All Weather Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 8.35 | (0) | 13.14 | 0.64 | -72.15 | 0.12 |
| Yearly Rebalancing | 6.34 | (154) | 6.56 | 0.97 | -37.02 | 0.17 |
| Half Yearly Rebalancing | 6.33 | (308) | 6.63 | 0.96 | -36.47 | 0.17 |
| Quarterly Rebalancing | 6.34 | (615) | 6.66 | 0.95 | -36.89 | 0.17 |
| 5% Tolerance per asset | 6.39 | (86) | 6.67 | 0.96 | -37.33 | 0.17 |
| 10% Tolerance per asset | 6.49 | (28) | 6.72 | 0.97 | -35.02 | 0.19 |
Drawdowns as of Sep 30, 2024
Historical Drawdowns of Ray Dalio All Weather Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-72.15
Sep 1929 - Mar 1944
|
-37.02
Sep 1929 - Apr 1935
|
-36.47
Sep 1929 - Aug 1933
|
-36.89
Sep 1929 - Jun 1933
|
-37.33
Sep 1929 - Jan 1934
|
-35.02
Sep 1929 - Jun 1933
|
|
-50.24
Nov 2007 - Feb 2012
|
-20.58
Jan 2022 - In progress
|
-20.54
Jan 2022 - In progress
|
-20.89
Jan 2022 - In progress
|
-20.17
Jan 2022 - In progress
|
-20.68
Jan 2022 - In progress
|
|
-45.04
Jan 1973 - Dec 1976
|
-17.43
Mar 1937 - Mar 1940
|
-17.85
Mar 1937 - Mar 1940
|
-18.12
Mar 1937 - Dec 1939
|
-18.10
Mar 1937 - Mar 1940
|
-17.96
Mar 1937 - Jun 1941
|
|
-43.47
Sep 2000 - Mar 2006
|
-12.98
Dec 1968 - Dec 1970
|
-13.02
Dec 1968 - Dec 1970
|
-13.07
Dec 1968 - Dec 1970
|
-13.49
Jul 2008 - Nov 2009
|
-14.02
Dec 1968 - Jan 1971
|
|
-29.61
Dec 1968 - Mar 1971
|
-12.31
Dec 1980 - Aug 1982
|
-12.01
Dec 1980 - Aug 1982
|
-12.13
Jun 2008 - Sep 2009
|
-12.79
Dec 1968 - Dec 1970
|
-12.91
Jul 2008 - Nov 2009
|
| 5 Worst Drawdowns - Average | |||||
| -48.10 | -20.06 | -19.98 | -20.22 | -20.38 | -20.12 |
| 10 Worst Drawdowns - Average | |||||
| -35.53 | -15.48 | -15.52 | -15.52 | -15.52 | -15.66 |
For a deeper insight, please refer to the Ray Dalio All Weather Portfolio: ETF allocation and returns page.
