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

Data Source: from January 1950 to April 2024 (~74 years)
Consolidated Returns as of 30 April 2024
Currency: EUR

The Ray Dalio All Weather Portfolio To EUR 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 Hedged obtained a 6.62% compound annual return, with a 7.30% standard deviation.

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Asset Allocation and ETFs

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

30% Stocks
55% Fixed Income
15% Commodities

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

Weight
(%)
Investment Themes (Orig.Currency) ETF
Ticker
ETF
Currency
ETF Name
30.00 Equity, U.S., Large Cap (USD)
XD9E.DE
EUR
Hedged
Xtrackers MSCI USA EUR Hedged
40.00 Bond, U.S., Long-Term (USD)
IUSV.DE
EUR
Hedged
iShares USD Treasury Bond 20+yr EUR Hedged
15.00 Bond, U.S., Intermediate-Term (USD)
CBUE.DE
EUR
Hedged
iShares USD Treasury Bond 3-7yr Eur Hedged
7.50 Commodity, Broad Diversified (USD)
BCFE.DE
EUR
Hedged
UBS CMCI Composite SF Eur Hedged
7.50 Commodity, Gold (USD)
GBSE
EUR
Hedged
WisdomTree Physical Gold EUR Hedged

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 Apr 30, 2024

The Ray Dalio All Weather Portfolio To EUR 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 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 HEDGED
Consolidated returns as of 30 April 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~74Y)
Ray Dalio All Weather Portfolio To EUR Hedged n.a. n.a. -3.29 10.38 0.53 2.18 2.86 6.62 7.45
Euro Inflation Adjusted return -3.85 9.06 -1.80 -1.47 0.54 4.45 4.67
Components
XD9E.DE
EUR
Hedged
Xtrackers MSCI USA EUR Hedged n.a. - n.a. -3.27 22.22 22.02 10.58 10.13 9.54 10.91
IUSV.DE
EUR
Hedged
iShares USD Treasury Bond 20+yr EUR Hedged n.a. - n.a. -6.51 5.75 -15.61 -6.00 -1.32 4.36 4.80
CBUE.DE
EUR
Hedged
iShares USD Treasury Bond 3-7yr Eur Hedged n.a. - n.a. -1.86 1.77 -2.95 -1.74 -0.59 3.51 4.85
BCFE.DE
EUR
Hedged
UBS CMCI Composite SF Eur Hedged n.a. - n.a. 2.93 1.02 1.73 7.13 -2.89 3.07 5.31
GBSE
EUR
Hedged
WisdomTree Physical Gold EUR Hedged n.a. - n.a. 3.47 14.20 12.69 9.38 2.85 4.77 4.91
Returns over 1 year are annualized | Available data source: since Jan 1950
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Current inflation (annualized) is 1Y: 2.38% , 5Y: 3.70% , 10Y: 2.30% , 30Y: 2.07%

Capital Growth as of Apr 30, 2024

An investment of 1€, since May 1994, now would be worth 6.83€, with a total return of 583.23% (6.62% annualized).

The Inflation Adjusted Capital now would be 3.70€, with a net total return of 269.69% (4.45% annualized).
An investment of 1€, since January 1950, now would be worth 208.29€, with a total return of 20728.53% (7.45% annualized).

The Inflation Adjusted Capital now would be 29.65€, with a net total return of 2865.11% (4.67% annualized).

Portfolio Metrics as of Apr 30, 2024

Metrics of Ray Dalio All Weather Portfolio To EUR Hedged, updated as of 30 April 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 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 HEDGED
Advanced Metrics
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~74Y)
Investment Return (%) -3.29 -1.04 10.38 0.53 -3.15 2.18 2.86 5.52 6.62 7.45
Infl. Adjusted Return (%) details -3.85 -2.96 9.06 -1.80 -8.26 -1.47 0.54 3.34 4.45 4.67
Euro Inflation (%) 0.58 1.98 1.21 2.38 5.57 3.70 2.30 2.11 2.07 2.66
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -9.47 -23.92 -23.92 -23.92 -23.92 -23.92 -23.92
Start to Recovery (# months) details 5 28* 28* 28* 28* 28* 28*
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 6 6 6 6 6 6
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-15.12
Start to Recovery (# months) details 29
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 1968 09
Start to Bottom (# months) 3 22 22 22 22 22 21
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 1970 05
Bottom to End (# months) 2 6 6 6 6 6 8
End (yyyy mm) 2023 12 - - - - - 1971 01
Longest negative period (# months) details 9* 36* 52 52 52 52 68
Period Start (yyyy mm) 2023 08 2021 05 2019 07 2019 07 2019 07 2019 07 1964 10
Period End (yyyy mm) 2024 04 2024 04 2023 10 2023 10 2023 10 2023 10 1970 05
Annualized Return (%) -0.10 -3.15 -0.58 -0.58 -0.58 -0.58 -0.12
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -10.33 -33.12 -33.12 -33.12 -33.12 -33.12 -33.12
Start to Recovery (# months) details 5 32* 32* 32* 32* 32* 32*
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 26 26 26 26 26 26
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 6 6 6 6 6 6
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-19.61
Start to Recovery (# months) details 40
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2021 09 1968 09
Start to Bottom (# months) 3 26 26 26 26 26 21
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 1970 05
Bottom to End (# months) 2 6 6 6 6 6 19
End (yyyy mm) 2023 12 - - - - - 1971 12
Longest negative period (# months) details 12* 36* 60* 116* 126 126 166
Period Start (yyyy mm) 2023 05 2021 05 2019 05 2014 09 2013 05 2013 05 1968 09
Period End (yyyy mm) 2024 04 2024 04 2024 04 2024 04 2023 10 2023 10 1982 06
Annualized Return (%) -1.80 -8.26 -1.47 -0.01 -0.05 -0.05 -0.11
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.60 11.11 9.80 8.04 7.56 7.30 7.21
Sharpe Ratio -0.41 -0.52 0.03 0.20 0.55 0.59 0.48
Sortino Ratio -0.64 -0.74 0.04 0.27 0.73 0.80 0.67
Ulcer Index 3.60 14.28 11.16 8.27 6.09 5.09 4.29
Ratio: Return / Standard Deviation 0.05 -0.28 0.22 0.36 0.73 0.91 1.03
Ratio: Return / Deepest Drawdown 0.06 -0.13 0.09 0.12 0.23 0.28 0.31
% Positive Months details 50% 52% 56% 59% 65% 65% 65%
Positive Months 6 19 34 71 156 236 580
Negative Months 6 17 26 49 84 124 312
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 2.86 8.41 9.86 13.40
Worst 10 Years Return (%) - Annualized 2.35 2.35 2.35
Best 10 Years Return (%) - Annualized 0.54 6.64 7.64 10.87
Worst 10 Years Return (%) - Annualized 0.11 0.11 -0.78
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 27.04 16.71 11.92 9.86 8.92 6.62
Worst Rolling Return (%) - Annualized -21.43 -5.16 1.16 2.35 5.22
% Positive Periods 85% 93% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.10 28.28 19.90 11.45 7.47 7.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.13 3.61 5.42
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 23.95 14.42 10.03 7.64 7.03 4.45
Worst Rolling Return (%) - Annualized -28.97 -10.36 -2.31 0.11 3.03
% Positive Periods 79% 92% 93% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.10 28.28 19.90 11.45 7.47 7.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.13 3.61 5.42
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1950 - Apr 2024)
Best Rolling Return (%) - Annualized 39.22 21.51 17.52 13.40 11.12 10.55
Worst Rolling Return (%) - Annualized -21.43 -5.16 -0.83 2.35 4.84 5.83
% Positive Periods 86% 95% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.10 28.28 18.58 10.16 5.56 4.39
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.81 2.68
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 37.07 20.60 15.78 10.87 8.68 8.20
Worst Rolling Return (%) - Annualized -28.97 -10.36 -3.39 -0.78 0.74 2.47
% Positive Periods 77% 91% 92% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.10 28.28 18.58 10.16 5.56 4.39
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.81 2.68
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 30 April 2024
Swipe left to see all data

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 HEDGED
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Inflation Adjusted:
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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 HEDGED
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Inflation Adjusted:

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

Seasonality

In which months is it better to invest in Ray Dalio All Weather Portfolio To EUR 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.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Ray Dalio All Weather Portfolio To EUR 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 HEDGED
Monthly Returns Distribution
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
236 Positive Months (66%) - 124 Negative Months (34%)
580 Positive Months (65%) - 312 Negative Months (35%)
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(Scroll down to see all data)
Investment Returns, up to April 2021, 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.

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:
  • XD9E.DE - Xtrackers MSCI USA EUR Hedged (XD9E.DE), up to April 2018
  • IUSV.DE - iShares USD Treasury Bond 20+yr EUR Hedged (IUSV.DE), up to April 2021
  • CBUE.DE - iShares USD Treasury Bond 3-7yr Eur Hedged (CBUE.DE), up to March 2019
  • BCFE.DE - UBS CMCI Composite SF Eur Hedged (BCFE.DE), up to May 2017
  • GBSE - WisdomTree Physical Gold EUR Hedged (GBSE), up to April 2013
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