Ray Dalio All Weather Portfolio To EUR Bond Hedged: ETF allocation and returns

Data Source: from January 1975 to January 2024 (~49 years)
Consolidated Returns as of 31 January 2024

The metrics are computed using a currency (EUR) distinct from the original asset's currency (USD).
The calculations utilize real exchange rates (USD to EUR) or, in case of hedged currency, actual interest rates differential.
Opting for ETFs that mirror the same benchmark in the destination currency (EUR) would yield comparable performances.

The Ray Dalio All Weather Portfolio To EUR Bond Hedged is a Medium Risk portfolio and can be implemented with 5 ETFs.

It's exposed for 30% on the Stock Market and for 15% on Commodities.

In the last 30 Years, the Ray Dalio All Weather Portfolio To EUR Bond Hedged obtained a 7.02% compound annual return, with a 7.28% standard deviation.

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Asset Allocation and ETFs

The Ray Dalio All Weather Portfolio To EUR Bond Hedged has the following asset allocation:

30% Stocks
55% Fixed Income
15% Commodities

The Ray Dalio All Weather Portfolio To EUR Bond Hedged can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
30.00
VTI
USD→EUR Vanguard Total Stock Market Equity, U.S., Large Cap
40.00
TLT
EUR
Hedged
iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
15.00
IEI
EUR
Hedged
iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term
7.50
DBC
USD→EUR Invesco DB Commodity Tracking Commodity, Broad Diversified
7.50
GLD
USD→EUR SPDR Gold Trust Commodity, Gold

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 as of Jan 31, 2024

The Ray Dalio All Weather Portfolio To EUR Bond Hedged guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
  • the currency hedging (simulation taking into account the interest rate differentials of the countries). It is also assumed that hedged instruments have an additional expense ratio of 0.25% (yearly), compared to the US original instrument.
  • the actual Euro Inflation rates.
RAY DALIO ALL WEATHER PORTFOLIO TO EUR BOND HEDGED
Consolidated returns as of 31 January 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
Ray Dalio All Weather Portfolio To EUR Bond Hedged n.a. n.a. 0.31 2.05 2.54 4.99 5.47 7.02 8.84
Euro Inflation Adjusted return 0.67 1.86 -0.22 1.22 3.15 4.89 6.15
Components
VTI
USD→EUR Vanguard Total Stock Market n.a. - n.a. 3.10 7.56 19.65 14.71 14.41 10.08 12.58
TLT
EUR
Hedged
iShares 20+ Year Treasury Bond n.a. - n.a. -2.34 -2.18 -8.25 -3.75 0.05 4.43 6.15
IEI
EUR
Hedged
iShares 3-7 Year Treasury Bond n.a. - n.a. 0.21 2.80 0.96 -0.60 -0.06 3.51 5.28
DBC
USD→EUR Invesco DB Commodity Tracking n.a. - n.a. 3.30 -3.61 -5.48 10.28 1.96 4.10 6.16
GLD
USD→EUR SPDR Gold Trust n.a. - n.a. 0.51 4.98 5.43 9.82 6.94 5.61 5.28
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 2.77% , 5Y: 3.72% , 10Y: 2.25% , 30Y: 2.03%

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 7.66$, with a total return of 666.05% (7.02% annualized).

The Inflation Adjusted Capital now would be 4.19$, with a net total return of 319.16% (4.89% annualized).
An investment of 1$, since January 1975, now would be worth 63.88$, with a total return of 6287.57% (8.84% annualized).

The Inflation Adjusted Capital now would be 18.73$, with a net total return of 1772.98% (6.15% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Ray Dalio All Weather Portfolio To EUR Bond Hedged, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
  • the currency hedging (simulation taking into account the interest rate differentials of the countries). It is also assumed that hedged instruments have an additional expense ratio of 0.25% (yearly), compared to the US original instrument.
  • the actual Euro Inflation rates.
RAY DALIO ALL WEATHER PORTFOLIO TO EUR BOND HEDGED
Advanced Metrics
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) 0.31 10.51 2.05 2.54 0.77 4.99 5.47 6.40 7.02 8.84
Infl. Adjusted Return (%) details 0.67 11.35 1.86 -0.22 -4.47 1.22 3.15 4.23 4.89 6.15
Euro Inflation (%) -0.36 -0.75 0.19 2.77 5.48 3.72 2.25 2.08 2.03 2.53
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.65 -18.52 -18.52 -18.52 -18.52 -18.52 -18.52
Start to Recovery (# months) details 5 25* 25* 25* 25* 25* 25*
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 3 22 22 22 22 22 22
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 3 3 3 3 3 3
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%) -2.79
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-6.53 -6.53
Start to Recovery (# months) details 6 33 33
Start (yyyy mm) 2023 02 2022 01 2022 01 2022 01 2022 01 2000 09 2000 09
Start to Bottom (# months) 1 22 22 22 22 22 22
Bottom (yyyy mm) 2023 02 2023 10 2023 10 2023 10 2023 10 2002 06 2002 06
Bottom to End (# months) 5 3 3 3 3 11 11
End (yyyy mm) 2023 07 - - - - 2003 05 2003 05
Longest negative period (# months) details 10 34 45 45 45 45 45
Period Start (yyyy mm) 2023 02 2021 02 2020 02 2020 02 2020 02 2020 02 2020 02
Period End (yyyy mm) 2023 11 2023 11 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -2.52 -0.82 -0.50 -0.50 -0.50 -0.50 -0.50
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -10.39 -27.79 -27.79 -27.79 -27.79 -27.79 -27.79
Start to Recovery (# months) details 12* 25* 25* 25* 25* 25* 25*
Start (yyyy mm) 2023 02 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 9 22 22 22 22 22 22
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 3 3 3 3 3 3 3
End (yyyy mm) - - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-5.43 -5.43 -10.61 -10.61
Start to Recovery (# months) details 32 32 43 43
Start (yyyy mm) 2023 02 2022 01 2022 01 2016 08 2016 08 2000 09 2000 09
Start to Bottom (# months) 9 22 22 29 29 22 22
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2018 12 2018 12 2002 06 2002 06
Bottom to End (# months) 3 3 3 3 3 21 21
End (yyyy mm) - - - 2019 03 2019 03 2004 03 2004 03
Longest negative period (# months) details 12* 36* 57 105 105 105 105
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2015 02 2015 02 2015 02 2015 02
Period End (yyyy mm) 2024 01 2024 01 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -0.22 -4.47 -0.98 -0.20 -0.20 -0.20 -0.20
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.42 9.69 8.62 7.63 7.04 7.28 8.24
Sharpe Ratio -0.27 -0.15 0.37 0.57 0.72 0.65 0.59
Sortino Ratio -0.42 -0.21 0.53 0.82 1.03 0.93 0.84
Ulcer Index 2.82 9.85 7.70 5.77 4.37 4.07 3.69
Ratio: Return / Standard Deviation 0.27 0.08 0.58 0.72 0.91 0.96 1.07
Ratio: Return / Deepest Drawdown 0.33 0.04 0.27 0.30 0.35 0.38 0.48
% Positive Months details 50% 52% 58% 58% 60% 62% 64%
Positive Months 6 19 35 70 146 225 380
Negative Months 6 17 25 50 94 135 209
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.47 9.05 9.93 14.20
Worst 10 Years Return (%) - Annualized 4.59 4.59 4.59
Best 10 Years Return (%) - Annualized 3.15 7.56 7.83 11.53
Worst 10 Years Return (%) - Annualized 2.30 2.30 2.30
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 30.73 18.84 15.94 9.93 9.40 7.02
Worst Rolling Return (%) - Annualized -16.49 -1.79 3.42 4.59 5.96
% Positive Periods 83% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.03 30.49 19.28 10.37 6.61 6.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.55 4.03 5.32
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 28.81 16.84 14.11 7.83 7.50 4.89
Worst Rolling Return (%) - Annualized -23.52 -7.17 -0.17 2.30 3.76
% Positive Periods 77% 91% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.03 30.49 19.28 10.37 6.61 6.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.55 4.03 5.32
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1975 - Jan 2024)
Best Rolling Return (%) - Annualized 47.20 23.39 18.67 14.20 12.96 10.54
Worst Rolling Return (%) - Annualized -16.49 -1.79 3.42 4.59 5.96 6.75
% Positive Periods 84% 99% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.03 30.49 19.28 10.37 6.61 6.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.55 4.03 5.17
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 43.44 20.41 16.16 11.53 10.09 8.21
Worst Rolling Return (%) - Annualized -23.52 -7.17 -0.17 2.30 3.76 4.58
% Positive Periods 76% 94% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.03 30.49 19.28 10.37 6.61 6.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.55 4.03 5.17
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 January 2024
Swipe left to see all data
Asset
VTI
TLT*
IEI*
DBC
GLD
VTI
-
0.65
0.35
-0.19
-0.32
TLT*
0.65
-
0.86
-0.58
0.03
IEI*
0.35
0.86
-
-0.39
0.36
DBC
-0.19
-0.58
-0.39
-
-0.15
GLD
-0.32
0.03
0.36
-0.15
-
* Currency Hedged
Asset
VTI
TLT*
IEI*
DBC
GLD
VTI
-
0.07
0.04
0.39
-0.03
TLT*
0.07
-
0.85
-0.51
0.28
IEI*
0.04
0.85
-
-0.47
0.27
DBC
0.39
-0.51
-0.47
-
-0.19
GLD
-0.03
0.28
0.27
-0.19
-
* Currency Hedged
Asset
VTI
TLT*
IEI*
DBC
GLD
VTI
-
0.01
-0.05
0.37
-0.02
TLT*
0.01
-
0.85
-0.44
0.37
IEI*
-0.05
0.85
-
-0.40
0.36
DBC
0.37
-0.44
-0.40
-
-0.02
GLD
-0.02
0.37
0.36
-0.02
-
* Currency Hedged
Asset
VTI
TLT*
IEI*
DBC
GLD
VTI
-
-0.15
-0.21
0.30
0.05
TLT*
-0.15
-
0.79
-0.22
0.17
IEI*
-0.21
0.79
-
-0.13
0.15
DBC
0.30
-0.22
-0.13
-
0.21
GLD
0.05
0.17
0.15
0.21
-
* Currency Hedged
Asset
VTI
TLT*
IEI*
DBC
GLD
VTI
-
0.00
-0.03
0.29
0.15
TLT*
0.00
-
0.82
-0.21
0.03
IEI*
-0.03
0.82
-
-0.16
0.00
DBC
0.29
-0.21
-0.16
-
0.29
GLD
0.15
0.03
0.00
0.29
-
* Currency Hedged

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR BOND HEDGED
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-18.52% Jan 2022 Oct 2023 22 in progress 3 25 11.74
-10.20% Feb 1994 Oct 1994 9 May 1995 7 16 7.11
-7.37% Jan 2009 Feb 2009 2 Nov 2009 9 11 4.24
-6.90% Apr 2015 Sep 2015 6 Jun 2016 9 15 3.98
-6.53% Sep 2000 Jun 2002 22 May 2003 11 33 3.16
-6.18% Jul 1998 Aug 1998 2 Dec 1998 4 6 2.96
-5.25% Mar 2006 Jun 2006 4 Oct 2006 4 8 3.16
-5.17% Sep 2008 Oct 2008 2 Dec 2008 2 4 2.33
-4.89% May 2013 Aug 2013 4 Feb 2014 6 10 3.39
-4.52% Sep 2018 Dec 2018 4 Mar 2019 3 7 2.44
-4.20% Aug 2016 Nov 2016 4 Dec 2017 13 17 2.07
-4.16% Sep 2012 Jan 2013 5 Apr 2013 3 8 2.20
-3.82% Feb 1996 Jul 1996 6 Sep 1996 2 8 2.06
-3.63% Apr 2004 May 2004 2 Oct 2004 5 7 2.24
-3.44% Mar 1997 Mar 1997 1 Apr 1997 1 2 1.99
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 132 2.7 Months 36.57%
 
DD = 0% 36.57%
 
0% < DD <= -5% 178 2.0 Months 49.31%
 
DD <= -5% 85.87%
 
-5% < DD <= -10% 33 10.9 Months 9.14%
 
DD <= -10% 95.01%
 
-10% < DD <= -15% 15 24.1 Months 4.16%
 
DD <= -15% 99.17%
 
-15% < DD <= -20% 3 120.3 Months 0.83%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-27.79% Jan 2022 Oct 2023 22 in progress 3 25 18.98
-11.98% Feb 1994 Oct 1994 9 Aug 1995 10 19 8.10
-10.61% Sep 2000 Jun 2002 22 Mar 2004 21 43 5.89
-7.96% Feb 2015 Sep 2015 8 Jun 2016 9 17 4.56
-6.96% Jan 2009 Feb 2009 2 Nov 2009 9 11 4.28
-6.74% Mar 2006 Jun 2006 4 Oct 2007 16 20 3.14
-6.61% Feb 2008 Oct 2008 9 Dec 2008 2 11 3.03
-6.52% Aug 2012 Sep 2013 14 May 2014 8 22 3.82
-6.26% Jul 1998 Aug 1998 2 Dec 1998 4 6 2.98
-5.43% Aug 2016 Dec 2018 29 Mar 2019 3 32 3.20
-4.98% Feb 1996 Jul 1996 6 Oct 1996 3 9 2.70
-4.41% Apr 2004 May 2004 2 Jan 2005 8 10 2.54
-3.52% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.03
-3.28% Feb 2012 Mar 2012 2 May 2012 2 4 1.73
-3.21% Aug 2020 Oct 2020 3 Nov 2020 1 4 1.51
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 97 3.7 Months 26.87%
 
DD = 0% 26.87%
 
0% < DD <= -5% 184 2.0 Months 50.97%
 
DD <= -5% 77.84%
 
-5% < DD <= -10% 51 7.1 Months 14.13%
 
DD <= -10% 91.97%
 
-10% < DD <= -15% 10 36.1 Months 2.77%
 
DD <= -15% 94.74%
 
-15% < DD <= -20% 4 90.3 Months 1.11%
 
DD <= -20% 95.84%
 
-20% < DD <= -25% 13 27.8 Months 3.60%
 
DD <= -25% 99.45%
 
-25% < DD <= -30% 2 180.5 Months 0.55%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-18.52% Jan 2022 Oct 2023 22 in progress 3 25 11.74
-13.50% Aug 1987 Nov 1987 4 Jan 1989 14 18 6.16
-10.20% Feb 1994 Oct 1994 9 May 1995 7 16 7.11
-8.80% Feb 1980 Mar 1980 2 May 1980 2 4 4.35
-8.63% Jun 1981 Sep 1981 4 Nov 1981 2 6 4.08
-8.51% Feb 1984 May 1984 4 Aug 1984 3 7 5.12
-8.32% Sep 1989 Oct 1990 14 Feb 1991 4 18 4.80
-7.37% Jan 2009 Feb 2009 2 Nov 2009 9 11 4.24
-6.90% Apr 2015 Sep 2015 6 Jun 2016 9 15 3.98
-6.61% Oct 1979 Oct 1979 1 Dec 1979 2 3 3.54
-6.53% Sep 2000 Jun 2002 22 May 2003 11 33 3.16
-6.18% Jul 1998 Aug 1998 2 Dec 1998 4 6 2.96
-5.69% Sep 1978 Nov 1978 3 Jan 1979 2 5 3.47
-5.43% Jul 1975 Sep 1975 3 Dec 1975 3 6 2.28
-5.25% Mar 2006 Jun 2006 4 Oct 2006 4 8 3.16
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 231 2.6 Months 39.15%
 
DD = 0% 39.15%
 
0% < DD <= -5% 283 2.1 Months 47.97%
 
DD <= -5% 87.12%
 
-5% < DD <= -10% 55 10.7 Months 9.32%
 
DD <= -10% 96.44%
 
-10% < DD <= -15% 18 32.8 Months 3.05%
 
DD <= -15% 99.49%
 
-15% < DD <= -20% 3 196.7 Months 0.51%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-27.79% Jan 2022 Oct 2023 22 in progress 3 25 18.98
-13.40% Aug 1987 Nov 1987 4 Jan 1989 14 18 6.49
-12.67% Sep 1989 Oct 1990 14 Mar 1991 5 19 7.30
-11.98% Feb 1994 Oct 1994 9 Aug 1995 10 19 8.10
-11.21% Oct 1979 Mar 1980 6 Jun 1980 3 9 4.87
-10.95% Dec 1980 Sep 1981 10 Aug 1982 11 21 5.45
-10.61% Sep 2000 Jun 2002 22 Mar 2004 21 43 5.89
-9.13% Feb 1984 May 1984 4 Aug 1984 3 7 5.65
-8.99% Jan 1977 Nov 1978 23 Jun 1979 7 30 5.12
-7.96% Feb 2015 Sep 2015 8 Jun 2016 9 17 4.56
-6.96% Jan 2009 Feb 2009 2 Nov 2009 9 11 4.28
-6.74% Mar 2006 Jun 2006 4 Oct 2007 16 20 3.14
-6.61% Feb 2008 Oct 2008 9 Dec 2008 2 11 3.03
-6.52% Aug 2012 Sep 2013 14 May 2014 8 22 3.82
-6.26% Jul 1998 Aug 1998 2 Dec 1998 4 6 2.98
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 171 3.5 Months 28.98%
 
DD = 0% 28.98%
 
0% < DD <= -5% 287 2.1 Months 48.64%
 
DD <= -5% 77.63%
 
-5% < DD <= -10% 95 6.2 Months 16.10%
 
DD <= -10% 93.73%
 
-10% < DD <= -15% 18 32.8 Months 3.05%
 
DD <= -15% 96.78%
 
-15% < DD <= -20% 4 147.5 Months 0.68%
 
DD <= -20% 97.46%
 
-20% < DD <= -25% 13 45.4 Months 2.20%
 
DD <= -25% 99.66%
 
-25% < DD <= -30% 2 295.0 Months 0.34%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR BOND HEDGED
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -16.49 01/2022
12/2022
0.83$ -0.36 0.99$ 6.92 1.06$ 16.19 1.16$ 30.73 08/1996
07/1997
1.30$ 2.54 16.05%
2Y -8.93 11/2021
10/2023
0.82$ 2.32 1.04$ 7.90 1.16$ 13.49 1.28$ 20.63 08/1995
07/1997
1.45$ -3.84 6.82%
3Y -1.79 11/2020
10/2023
0.94$ 2.94 1.09$ 7.65 1.24$ 12.65 1.42$ 18.84 04/1995
03/1998
1.67$ 0.77 1.54%
5Y 3.42 10/2018
09/2023
1.18$ 5.07 1.28$ 6.49 1.36$ 10.80 1.66$ 15.94 04/1995
03/2000
2.09$ 4.99 0.00%
7Y 2.80 11/2016
10/2023
1.21$ 4.94 1.40$ 7.37 1.64$ 9.49 1.88$ 12.57 07/1994
06/2001
2.29$ 4.32 0.00%
10Y 4.59 11/2013
10/2023
1.56$ 5.54 1.71$ 7.73 2.10$ 8.65 2.29$ 9.93 11/1994
10/2004
2.57$ 5.47 0.00%
15Y 6.23 09/2000
08/2015
2.47$ 6.82 2.68$ 7.32 2.88$ 8.02 3.17$ 8.55 05/1995
04/2010
3.42$ 6.82 0.00%
20Y 5.96 11/2003
10/2023
3.18$ 6.62 3.60$ 7.10 3.94$ 8.36 4.98$ 9.40 02/1995
01/2015
6.02$ 6.40 0.00%
30Y 7.02 02/1994
01/2024
7.66$ 7.02 7.66$ 7.02 7.66$ 7.02 7.66$ 7.02 02/1994
01/2024
7.66$ 7.02 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -23.52 01/2022
12/2022
0.76$ -2.16 0.97$ 5.06 1.05$ 14.77 1.14$ 28.81 08/1996
07/1997
1.28$ -0.22 22.64%
2Y -14.64 11/2021
10/2023
0.72$ 0.18 1.00$ 5.92 1.12$ 11.51 1.24$ 18.42 08/1995
07/1997
1.40$ -9.00 13.35%
3Y -7.17 11/2020
10/2023
0.79$ 1.12 1.03$ 6.07 1.19$ 10.71 1.35$ 16.84 04/1995
03/1998
1.59$ -4.47 8.92%
5Y -0.17 10/2018
09/2023
0.99$ 2.83 1.14$ 5.10 1.28$ 8.94 1.53$ 14.11 04/1995
03/2000
1.93$ 1.22 0.66%
7Y -0.25 11/2016
10/2023
0.98$ 2.66 1.20$ 5.75 1.47$ 7.98 1.71$ 10.53 11/1994
10/2001
2.01$ 1.28 0.72%
10Y 2.30 11/2013
10/2023
1.25$ 3.42 1.39$ 5.91 1.77$ 7.02 1.97$ 7.83 11/1994
10/2004
2.12$ 3.15 0.00%
15Y 4.25 10/2008
09/2023
1.86$ 4.85 2.03$ 5.50 2.23$ 6.11 2.43$ 6.49 05/1995
04/2010
2.56$ 4.65 0.00%
20Y 3.76 11/2003
10/2023
2.09$ 4.74 2.52$ 5.26 2.78$ 6.49 3.51$ 7.50 02/1995
01/2015
4.24$ 4.23 0.00%
30Y 4.89 02/1994
01/2024
4.19$ 4.89 4.19$ 4.89 4.19$ 4.89 4.19$ 4.89 02/1994
01/2024
4.19$ 4.89 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -16.49 01/2022
12/2022
0.83$ -0.29 0.99$ 7.84 1.07$ 18.45 1.18$ 47.20 07/1982
06/1983
1.47$ 2.54 15.92%
2Y -8.93 11/2021
10/2023
0.82$ 2.90 1.05$ 8.92 1.18$ 14.82 1.31$ 27.42 10/1981
09/1983
1.62$ -3.84 4.59%
3Y -1.79 11/2020
10/2023
0.94$ 4.20 1.13$ 8.37 1.27$ 14.16 1.48$ 23.39 07/1982
06/1985
1.87$ 0.77 0.90%
5Y 3.42 10/2018
09/2023
1.18$ 5.62 1.31$ 8.51 1.50$ 13.40 1.87$ 18.67 10/1981
09/1986
2.35$ 4.99 0.00%
7Y 2.80 11/2016
10/2023
1.21$ 5.99 1.50$ 9.14 1.84$ 12.42 2.26$ 16.38 04/1980
03/1987
2.89$ 4.32 0.00%
10Y 4.59 11/2013
10/2023
1.56$ 6.69 1.91$ 9.12 2.39$ 11.95 3.09$ 14.20 11/1990
10/2000
3.77$ 5.47 0.00%
15Y 6.23 09/2000
08/2015
2.47$ 7.17 2.82$ 9.10 3.69$ 11.53 5.13$ 13.37 08/1982
07/1997
6.56$ 6.82 0.00%
20Y 5.96 11/2003
10/2023
3.18$ 6.95 3.83$ 9.01 5.61$ 11.67 9.09$ 12.96 04/1980
03/2000
11.44$ 6.40 0.00%
30Y 6.75 11/1993
10/2023
7.10$ 8.44 11.35$ 9.19 13.98$ 10.01 17.49$ 10.54 08/1982
07/2012
20.23$ 7.02 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -23.52 01/2022
12/2022
0.76$ -2.44 0.97$ 5.37 1.05$ 15.71 1.15$ 43.44 07/1982
06/1983
1.43$ -0.22 23.53%
2Y -14.64 11/2021
10/2023
0.72$ 0.55 1.01$ 6.26 1.12$ 12.58 1.26$ 23.73 06/1984
05/1986
1.53$ -9.00 10.25%
3Y -7.17 11/2020
10/2023
0.79$ 1.78 1.05$ 6.26 1.19$ 11.84 1.39$ 20.41 07/1982
06/1985
1.74$ -4.47 5.42%
5Y -0.17 10/2018
09/2023
0.99$ 3.14 1.16$ 6.21 1.35$ 10.22 1.62$ 16.16 03/1982
02/1987
2.11$ 1.22 0.38%
7Y -0.25 11/2016
10/2023
0.98$ 3.94 1.31$ 6.63 1.56$ 9.86 1.93$ 13.48 07/1982
06/1989
2.42$ 1.28 0.40%
10Y 2.30 11/2013
10/2023
1.25$ 4.57 1.56$ 7.07 1.97$ 8.98 2.36$ 11.53 11/1990
10/2000
2.97$ 3.15 0.00%
15Y 4.25 10/2008
09/2023
1.86$ 5.24 2.15$ 6.62 2.61$ 8.69 3.48$ 10.76 08/1982
07/1997
4.63$ 4.65 0.00%
20Y 3.76 11/2003
10/2023
2.09$ 5.17 2.74$ 6.70 3.65$ 8.69 5.29$ 10.09 04/1980
03/2000
6.84$ 4.23 0.00%
30Y 4.58 11/1993
10/2023
3.82$ 6.30 6.25$ 6.94 7.47$ 7.30 8.28$ 8.21 08/1982
07/2012
10.65$ 4.89 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

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

Seasonality

In which months is it better to invest in Ray Dalio All Weather Portfolio To EUR Bond Hedged?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.98
60%
-0.56
40%
0.85
60%
0.60
60%
-0.13
60%
1.01
80%
2.33
100%
0.04
40%
-2.46
0%
-0.21
40%
2.51
100%
0.28
60%
Best 5.1
2023
0.9
2019
3.2
2019
4.4
2020
0.7
2020
3.7
2021
4.6
2022
4.4
2019
-0.5
2020
3.8
2021
5.5
2023
4.4
2023
Worst -2.6
2022
-2.8
2023
-1.7
2020
-3.9
2022
-1.5
2022
-3.0
2022
0.5
2023
-2.8
2022
-6.0
2022
-2.6
2023
0.5
2021
-4.3
2022
Monthly Seasonality over the period Feb 1975 - Jan 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.52
70%
0.07
50%
0.55
70%
0.17
60%
0.65
70%
0.72
60%
1.35
70%
0.42
50%
-1.52
0%
0.09
50%
1.46
90%
0.16
60%
Best 6.8
2015
2.9
2017
3.2
2019
4.4
2020
3.3
2018
4.3
2016
4.6
2022
4.4
2019
-0.2
2015
3.8
2021
5.5
2023
4.4
2023
Worst -2.6
2022
-2.8
2023
-1.7
2020
-3.9
2022
-1.5
2022
-3.0
2022
-0.9
2017
-3.0
2015
-6.0
2022
-2.8
2018
-1.2
2016
-4.3
2022
Monthly Seasonality over the period Feb 1975 - Jan 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.21
70%
0.35
63%
0.58
59%
0.72
69%
1.13
67%
0.89
65%
0.48
57%
1.09
69%
-0.12
47%
0.32
61%
1.38
76%
0.79
69%
Best 6.8
2015
4.2
1991
8.7
1986
9.1
1980
5.5
1981
6.7
1975
7.8
1997
9.6
1982
4.7
2011
8.6
1982
6.0
1981
4.5
1976
Worst -4.1
1990
-5.0
1984
-4.9
1980
-3.9
2022
-4.0
1984
-3.2
2002
-3.5
1985
-4.1
1998
-6.0
2022
-7.8
1987
-3.8
1987
-4.3
2022
Monthly Seasonality over the period Feb 1975 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Ray Dalio All Weather Portfolio To EUR Bond Hedged over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR BOND HEDGED
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
225 Positive Months (63%) - 135 Negative Months (38%)
380 Positive Months (65%) - 209 Negative Months (35%)
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(Scroll down to see all data)
Investment Returns, up to December 2007, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

Returns are calculated based on the performance of the original US asset, adjusted for actual currency exchange rates.
Hedged returns are calculated taking into account the interest rate differentials of the countries. It is assumed that hedged instruments have an additional expense ratio of 0.25% (yearly).

In particular, the series derived from equivalent datasets are:
  • VTI - Vanguard Total Stock Market (VTI) to EUR, up to December 2001
  • TLT - iShares 20+ Year Treasury Bond (TLT) to EUR Hedged, up to December 2002
  • IEI - iShares 3-7 Year Treasury Bond (IEI) to EUR Hedged, up to December 2007
  • DBC - Invesco DB Commodity Tracking (DBC) to EUR, up to December 2006
  • GLD - SPDR Gold Trust (GLD) to EUR, up to December 2004
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