Ray Dalio All Weather Portfolio To EUR Hedged: Rebalancing Strategy

Data Source: from January 1950 to January 2024
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.

Managing the Ray Dalio All Weather Portfolio To EUR Hedged with a yearly rebalancing, you would have obtained a 6.60% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 6.57%.

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 Jan 31, 2024

Implementing different rebalancing strategies, the Ray Dalio All Weather Portfolio To EUR Hedged guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1950.

Portfolio returns are calculated in EUR, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • 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.
RAY DALIO ALL WEATHER PORTFOLIO TO EUR HEDGED RETURNS
Period: January 1950 - January 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Jan 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~74Y)
Yearly Rebalancing 1.74 (1) 3.60 (5) 3.77 (10) 6.60 (30) 7.55 (75)
Half Yearly Rebalancing 1.55 (2) 3.71 (10) 3.89 (20) 6.53 (60) 7.47 (149)
Quarterly Rebalancing 1.80 (4) 3.94 (20) 3.99 (40) 6.57 (120) 7.44 (297)
5% Tolerance per asset 2.06 (1) 4.27 (5) 4.10 (7) 6.44 (17) 7.52 (42)
10% Tolerance per asset 2.95 (1) 3.66 (1) 3.98 (2) 6.60 (7) 7.65 (15)

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

Performances as of Jan 31, 2024

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

RAY DALIO ALL WEATHER PORTFOLIO TO EUR HEDGED PERFORMANCES
Period: January 1950 - January 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 7.55 (75) 7.25 1.04 -22.56 0.33
Half Yearly Rebalancing 7.47 (149) 7.22 1.04 -22.57 0.33
Quarterly Rebalancing 7.44 (297) 7.23 1.03 -23.11 0.32
5% Tolerance per asset 7.52 (42) 7.29 1.03 -22.22 0.34
10% Tolerance per asset 7.65 (15) 7.41 1.03 -22.06 0.35
(*) Since Jan 1950 (~74 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Jan 31, 2024

Historical Drawdowns of Ray Dalio All Weather Portfolio To EUR Hedged, after implementing different rebalancing strategies.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR HEDGED DRAWDOWNS
Period: January 1950 - January 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-22.56
Jan 2022 - In progress
-22.57
Jan 2022 - In progress
-23.11
Jan 2022 - In progress
-22.22
Jan 2022 - In progress
-22.06
Jan 2022 - In progress
-17.96
Dec 1980 - Oct 1982
-17.68
Dec 1980 - Oct 1982
-17.48
Dec 1980 - Oct 1982
-17.50
Jul 1980 - Oct 1982
-18.03
Dec 1980 - Oct 1982
-15.12
Sep 1968 - Jan 1971
-15.18
Sep 1968 - Jan 1971
-15.27
Sep 1968 - Jan 1971
-14.89
Dec 1968 - Dec 1970
-15.34
Sep 1968 - Jan 1971
-12.28
Mar 1974 - Feb 1975
-13.18
Mar 1974 - Feb 1975
-12.72
Mar 1974 - Feb 1975
-13.31
Mar 1974 - May 1975
-12.63
Mar 1974 - May 1975
-11.90
Feb 1980 - May 1980
-11.90
Feb 1980 - May 1980
-12.39
Oct 1979 - May 1980
-12.41
Jul 2008 - Sep 2009
-11.90
Feb 1980 - May 1980
5 Worst Drawdowns - Average
-15.96 -16.10 -16.20 -16.07 -15.99
10 Worst Drawdowns - Average
-12.97 -12.85 -12.90 -12.56 -12.59

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