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

Data Source: from January 1950 to February 2024 (~74 years)
Consolidated Returns as of 29 February 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 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 6.70% compound annual return, with a 7.40% 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 (%) Ticker Currency ETF Name Investment Themes
30.00
VTI
EUR
Hedged
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
EUR
Hedged
Invesco DB Commodity Tracking Commodity, Broad Diversified
7.50
GLD
EUR
Hedged
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 Feb 29, 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 29 February 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~74Y)
Ray Dalio All Weather Portfolio To EUR Hedged n.a. n.a. 0.34 3.53 6.36 3.57 3.56 6.70 7.55
Euro Inflation Adjusted return 0.34 3.89 4.32 -0.08 1.31 4.59 4.78
Components
VTI
EUR
Hedged
Vanguard Total Stock Market n.a. - n.a. 5.19 13.01 26.84 12.34 10.62 9.57 10.99
TLT
EUR
Hedged
iShares 20+ Year Treasury Bond n.a. - n.a. -2.36 -1.27 -5.45 -3.90 -0.24 4.48 4.93
IEI
EUR
Hedged
iShares 3-7 Year Treasury Bond n.a. - n.a. -1.48 1.43 2.07 -0.80 -0.22 3.54 4.91
DBC
EUR
Hedged
Invesco DB Commodity Tracking n.a. - n.a. -1.62 -6.77 -4.27 6.71 -2.09 3.38 5.42
GLD
EUR
Hedged
SPDR Gold Trust n.a. - n.a. 0.36 4.53 9.96 7.42 2.77 4.84 4.97
Returns over 1 year are annualized | Available data source: since Jan 1950
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 1.95% , 5Y: 3.65% , 10Y: 2.21% , 30Y: 2.02%

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 7.00$, with a total return of 600.37% (6.70% annualized).

The Inflation Adjusted Capital now would be 3.85$, with a net total return of 284.85% (4.59% annualized).
An investment of 1$, since January 1950, now would be worth 220.53$, with a total return of 21952.80% (7.55% annualized).

The Inflation Adjusted Capital now would be 32.02$, with a net total return of 3101.63% (4.78% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Ray Dalio All Weather Portfolio To EUR Hedged, updated as of 29 February 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 - 29 February 2024 (~74 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~74Y)
Investment Return (%) 0.34 4.74 3.53 6.36 -1.30 3.57 3.56 5.64 6.70 7.55
Infl. Adjusted Return (%) details 0.34 4.96 3.89 4.32 -6.36 -0.08 1.31 3.50 4.59 4.78
Euro Inflation (%) 0.00 -0.20 -0.35 1.95 5.41 3.65 2.21 2.07 2.02 2.64
Pending updates, the monthly inflation after Jan 2024 is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -9.53 -22.56 -22.56 -22.56 -22.56 -22.56 -22.56
Start to Recovery (# months) details 5 26* 26* 26* 26* 26* 26*
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 4 4 4 4 4 4
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 4 4 4 4 4 8
End (yyyy mm) 2023 12 - - - - - 1971 01
Longest negative period (# months) details 8 36* 51 51 51 51 68
Period Start (yyyy mm) 2023 03 2021 03 2019 08 2019 08 2019 08 2019 08 1964 10
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2023 10 1970 05
Annualized Return (%) -7.53 -1.30 -0.04 -0.04 -0.04 -0.04 -0.12
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -10.39 -31.57 -31.57 -31.57 -31.57 -31.57 -31.57
Start to Recovery (# months) details 5 30* 30* 30* 30* 30* 30*
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 4 4 4 4 4 4
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 4 4 4 4 4 19
End (yyyy mm) 2023 12 - - - - - 1971 12
Longest negative period (# months) details 9 36* 60* 113 113 113 166
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2014 06 2014 06 2014 06 1968 09
Period End (yyyy mm) 2023 11 2024 02 2024 02 2023 10 2023 10 2023 10 1982 06
Annualized Return (%) -0.80 -6.36 -0.08 -0.09 -0.09 -0.09 -0.11
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.38 11.63 10.17 8.26 7.76 7.40 7.24
Sharpe Ratio 0.10 -0.32 0.17 0.29 0.55 0.60 0.49
Sortino Ratio 0.15 -0.45 0.24 0.40 0.74 0.81 0.68
Ulcer Index 3.51 12.95 10.12 7.54 5.62 4.71 4.11
Ratio: Return / Standard Deviation 0.56 -0.11 0.35 0.43 0.73 0.91 1.04
Ratio: Return / Deepest Drawdown 0.67 -0.06 0.16 0.16 0.25 0.30 0.33
% Positive Months details 58% 50% 58% 59% 64% 65% 64%
Positive Months 7 18 35 71 155 234 578
Negative Months 5 18 25 49 85 126 312
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.56 8.41 9.86 13.40
Worst 10 Years Return (%) - Annualized 2.78 2.78 2.78
Best 10 Years Return (%) - Annualized 1.31 6.67 7.64 10.87
Worst 10 Years Return (%) - Annualized 0.53 0.53 -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 11.94 9.86 8.93 6.70
Worst Rolling Return (%) - Annualized -20.44 -4.03 1.67 2.78 5.44
% Positive Periods 85% 95% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.52 28.69 20.01 11.72 7.48 7.12
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.62 3.84 5.27
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 23.95 14.42 10.05 7.64 7.04 4.59
Worst Rolling Return (%) - Annualized -28.08 -9.30 -1.86 0.53 3.25
% Positive Periods 80% 93% 94% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.52 28.69 20.01 11.72 7.48 7.12
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.62 3.84 5.27
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1950 - Feb 2024)
Best Rolling Return (%) - Annualized 39.22 21.51 17.52 13.40 11.12 10.55
Worst Rolling Return (%) - Annualized -20.44 -4.03 -0.83 2.78 4.84 5.83
% Positive Periods 86% 96% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.52 28.69 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 -28.08 -9.30 -3.39 -0.78 0.74 2.47
% Positive Periods 77% 91% 93% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.52 28.69 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 29 February 2024
Swipe left to see all data
Asset
VTI*
TLT*
IEI*
DBC*
GLD*
VTI*
-
0.78
0.43
0.02
0.16
TLT*
0.78
-
0.86
-0.26
0.35
IEI*
0.43
0.86
-
-0.15
0.55
DBC*
0.02
-0.26
-0.15
-
-0.07
GLD*
0.16
0.35
0.55
-0.07
-
* Currency Hedged
Asset
VTI*
TLT*
IEI*
DBC*
GLD*
VTI*
-
0.19
0.19
0.47
0.24
TLT*
0.19
-
0.85
-0.34
0.40
IEI*
0.19
0.85
-
-0.27
0.43
DBC*
0.47
-0.34
-0.27
-
0.04
GLD*
0.24
0.40
0.43
0.04
-
* Currency Hedged
Asset
VTI*
TLT*
IEI*
DBC*
GLD*
VTI*
-
0.08
0.06
0.42
0.09
TLT*
0.08
-
0.85
-0.35
0.42
IEI*
0.06
0.85
-
-0.27
0.45
DBC*
0.42
-0.35
-0.27
-
0.11
GLD*
0.09
0.42
0.45
0.11
-
* Currency Hedged
Asset
VTI*
TLT*
IEI*
DBC*
GLD*
VTI*
-
-0.12
-0.13
0.33
0.06
TLT*
-0.12
-
0.79
-0.17
0.20
IEI*
-0.13
0.79
-
-0.05
0.24
DBC*
0.33
-0.17
-0.05
-
0.30
GLD*
0.06
0.20
0.24
0.30
-
* Currency Hedged
Asset
VTI*
TLT*
IEI*
DBC*
GLD*
VTI*
-
0.08
0.10
0.15
0.03
TLT*
0.08
-
0.82
-0.14
0.08
IEI*
0.10
0.82
-
-0.06
0.07
DBC*
0.15
-0.14
-0.06
-
0.27
GLD*
0.03
0.08
0.07
0.27
-
* 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 HEDGED
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1950 - 29 February 2024 (~74 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-22.56% Jan 2022 Oct 2023 22 in progress 4 26 15.15
-11.36% Jan 2009 Feb 2009 2 Sep 2009 7 9 6.03
-10.77% Jul 2008 Oct 2008 4 Dec 2008 2 6 4.77
-7.07% Feb 2015 Dec 2015 11 Jun 2016 6 17 4.32
-6.65% Aug 2016 Nov 2016 4 Aug 2017 9 13 3.42
-5.51% Feb 2018 Dec 2018 11 Mar 2019 3 14 2.90
-5.29% May 2013 Jun 2013 2 Feb 2014 8 10 2.87
-5.02% Jul 1998 Aug 1998 2 Oct 1998 2 4 2.37
-4.76% Sep 2000 Mar 2001 7 Aug 2002 17 24 2.43
-4.70% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.98
-4.63% Jun 2003 Jul 2003 2 Sep 2003 2 4 2.37
-3.95% Feb 1999 Feb 1999 1 Nov 1999 9 10 2.11
-3.88% Dec 1996 Mar 1997 4 May 1997 2 6 1.77
-3.86% Jan 2021 Mar 2021 3 May 2021 2 5 2.06
-3.80% Aug 2020 Oct 2020 3 Nov 2020 1 4 1.83
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 145 2.5 Months 40.17%
 
DD = 0% 40.17%
 
0% < DD <= -5% 172 2.1 Months 47.65%
 
DD <= -5% 87.81%
 
-5% < DD <= -10% 19 19.0 Months 5.26%
 
DD <= -10% 93.07%
 
-10% < DD <= -15% 11 32.8 Months 3.05%
 
DD <= -15% 96.12%
 
-15% < DD <= -20% 10 36.1 Months 2.77%
 
DD <= -20% 98.89%
 
-20% < DD <= -25% 4 90.3 Months 1.11%
 
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
-31.57% Sep 2021 Oct 2023 26 in progress 4 30 20.84
-11.91% Mar 2008 Oct 2008 8 Dec 2008 2 10 4.41
-10.97% Jan 2009 Feb 2009 2 Sep 2009 7 9 5.97
-8.71% Feb 2015 Dec 2015 11 Jun 2016 6 17 5.65
-7.85% Feb 2018 Oct 2018 9 Jun 2019 8 17 4.16
-7.24% Aug 2016 Nov 2016 4 Dec 2017 13 17 3.80
-6.69% Sep 2000 Sep 2001 13 Dec 2002 15 28 4.44
-5.49% May 2013 Jun 2013 2 Jan 2014 7 9 3.07
-5.18% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.32
-5.10% Jan 2021 Mar 2021 3 Jun 2021 3 6 2.58
-5.10% Jul 1998 Aug 1998 2 Oct 1998 2 4 2.41
-4.73% Mar 1994 Nov 1994 9 Feb 1995 3 12 3.10
-4.71% Dec 1996 Mar 1997 4 May 1997 2 6 2.29
-4.60% Jun 2003 Jul 2003 2 Oct 2003 3 5 2.19
-4.55% Feb 2006 Jun 2006 5 Oct 2006 4 9 2.55
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 111 3.3 Months 30.75%
 
DD = 0% 30.75%
 
0% < DD <= -5% 184 2.0 Months 50.97%
 
DD <= -5% 81.72%
 
-5% < DD <= -10% 41 8.8 Months 11.36%
 
DD <= -10% 93.07%
 
-10% < DD <= -15% 3 120.3 Months 0.83%
 
DD <= -15% 93.91%
 
-15% < DD <= -20% 3 120.3 Months 0.83%
 
DD <= -20% 94.74%
 
-20% < DD <= -25% 10 36.1 Months 2.77%
 
DD <= -25% 97.51%
 
-25% < DD <= -30% 8 45.1 Months 2.22%
 
DD <= -30% 99.72%
 
-30% < DD <= -35% 1 361.0 Months 0.28%
 
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
-22.56% Jan 2022 Oct 2023 22 in progress 4 26 15.15
-17.96% Dec 1980 Sep 1981 10 Oct 1982 13 23 10.41
-15.12% Sep 1968 May 1970 21 Jan 1971 8 29 7.89
-12.28% Mar 1974 Sep 1974 7 Feb 1975 5 12 6.49
-11.90% Feb 1980 Mar 1980 2 May 1980 2 4 6.10
-11.36% Jan 2009 Feb 2009 2 Sep 2009 7 9 6.03
-11.28% May 1983 May 1984 13 Jan 1985 8 21 5.16
-10.77% Jul 2008 Oct 2008 4 Dec 2008 2 6 4.77
-9.34% Sep 1987 Nov 1987 3 Jan 1989 14 17 4.30
-7.15% Oct 1979 Oct 1979 1 Dec 1979 2 3 3.92
-7.07% Feb 2015 Dec 2015 11 Jun 2016 6 17 4.32
-6.65% Aug 2016 Nov 2016 4 Aug 2017 9 13 3.42
-5.86% Apr 1962 Jun 1962 3 Dec 1962 6 9 3.26
-5.84% Feb 1994 Jun 1994 5 Feb 1995 8 13 4.18
-5.81% Feb 1966 Aug 1966 7 Jan 1967 5 12 2.53
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 387 2.3 Months 43.43%
 
DD = 0% 43.43%
 
0% < DD <= -5% 399 2.2 Months 44.78%
 
DD <= -5% 88.22%
 
-5% < DD <= -10% 56 15.9 Months 6.29%
 
DD <= -10% 94.50%
 
-10% < DD <= -15% 32 27.8 Months 3.59%
 
DD <= -15% 98.09%
 
-15% < DD <= -20% 13 68.5 Months 1.46%
 
DD <= -20% 99.55%
 
-20% < DD <= -25% 4 222.8 Months 0.45%
 
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%
 
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Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-31.57% Sep 2021 Oct 2023 26 in progress 4 30 20.84
-23.19% Jul 1980 Jun 1982 24 Feb 1983 8 32 13.75
-19.61% Sep 1968 May 1970 21 Dec 1971 19 40 9.55
-15.14% Oct 1973 Sep 1974 12 Feb 1976 17 29 6.54
-13.93% Oct 1979 Mar 1980 6 Jun 1980 3 9 6.08
-13.90% May 1983 May 1984 13 May 1985 12 25 6.63
-11.91% Mar 2008 Oct 2008 8 Dec 2008 2 10 4.41
-10.97% Jan 2009 Feb 2009 2 Sep 2009 7 9 5.97
-9.34% Sep 1987 Nov 1987 3 Apr 1989 17 20 4.56
-8.71% Feb 2015 Dec 2015 11 Jun 2016 6 17 5.65
-7.91% Nov 1965 Aug 1966 10 Mar 1967 7 17 3.90
-7.85% Feb 2018 Oct 2018 9 Jun 2019 8 17 4.16
-7.50% Feb 1994 Nov 1994 10 May 1995 6 16 5.04
-7.24% Aug 2016 Nov 2016 4 Dec 2017 13 17 3.80
-7.07% Jan 1990 Apr 1990 4 Jan 1991 9 13 3.75
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 272 3.3 Months 30.53%
 
DD = 0% 30.53%
 
0% < DD <= -5% 453 2.0 Months 50.84%
 
DD <= -5% 81.37%
 
-5% < DD <= -10% 101 8.8 Months 11.34%
 
DD <= -10% 92.70%
 
-10% < DD <= -15% 24 37.1 Months 2.69%
 
DD <= -15% 95.40%
 
-15% < DD <= -20% 15 59.4 Months 1.68%
 
DD <= -20% 97.08%
 
-20% < DD <= -25% 17 52.4 Months 1.91%
 
DD <= -25% 98.99%
 
-25% < DD <= -30% 8 111.4 Months 0.90%
 
DD <= -30% 99.89%
 
-30% < DD <= -35% 1 891.0 Months 0.11%
 
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 HEDGED
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1950 - 29 February 2024 (~74 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 -20.44 11/2021
10/2022
0.79$ 0.26 1.00$ 7.77 1.07$ 14.12 1.14$ 27.04 01/1995
12/1995
1.27$ 6.36 14.04%
2Y -11.64 11/2021
10/2023
0.78$ 2.70 1.05$ 6.50 1.13$ 12.33 1.26$ 18.52 12/1994
11/1996
1.40$ -5.11 6.53%
3Y -4.03 11/2020
10/2023
0.88$ 3.56 1.11$ 7.10 1.22$ 10.91 1.36$ 16.71 03/2009
02/2012
1.58$ -1.30 4.62%
5Y 1.67 10/2018
09/2023
1.08$ 4.41 1.24$ 7.17 1.41$ 9.55 1.57$ 11.94 03/2009
02/2014
1.75$ 3.57 0.00%
7Y 1.65 10/2016
09/2023
1.12$ 5.16 1.42$ 7.30 1.63$ 8.47 1.76$ 9.61 07/2009
06/2016
1.90$ 3.26 0.00%
10Y 2.78 11/2013
10/2023
1.31$ 6.36 1.85$ 7.33 2.02$ 8.69 2.30$ 9.86 08/2002
07/2012
2.56$ 3.56 0.00%
15Y 5.15 11/2007
10/2022
2.12$ 6.46 2.55$ 7.57 2.98$ 7.99 3.16$ 8.62 12/1994
11/2009
3.45$ 6.28 0.00%
20Y 5.44 11/2003
10/2023
2.88$ 6.45 3.49$ 7.15 3.98$ 7.98 4.63$ 8.93 02/1995
01/2015
5.53$ 5.64 0.00%
30Y 6.70 03/1994
02/2024
7.00$ 6.70 7.00$ 6.70 7.00$ 6.70 7.00$ 6.70 03/1994
02/2024
7.00$ 6.70 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 -28.08 11/2021
10/2022
0.71$ -1.64 0.98$ 5.49 1.05$ 12.31 1.12$ 23.95 01/1995
12/1995
1.23$ 4.32 19.48%
2Y -17.18 11/2021
10/2023
0.68$ 0.69 1.01$ 5.03 1.10$ 10.41 1.21$ 15.92 12/1994
11/1996
1.34$ -9.78 11.28%
3Y -9.30 11/2020
10/2023
0.74$ 1.95 1.05$ 5.31 1.16$ 8.83 1.28$ 14.42 03/2009
02/2012
1.49$ -6.36 6.46%
5Y -1.86 10/2018
09/2023
0.91$ 3.17 1.16$ 5.27 1.29$ 7.42 1.43$ 10.05 03/2009
02/2014
1.61$ -0.08 5.65%
7Y -1.39 10/2016
09/2023
0.90$ 3.92 1.30$ 5.40 1.44$ 6.62 1.56$ 8.24 11/2008
10/2015
1.74$ 0.30 1.81%
10Y 0.53 11/2013
10/2023
1.05$ 4.35 1.53$ 5.67 1.73$ 6.63 1.90$ 7.64 08/2002
07/2012
2.08$ 1.31 0.00%
15Y 3.05 11/2007
10/2022
1.56$ 4.85 2.03$ 5.68 2.29$ 6.06 2.41$ 6.55 12/1994
11/2009
2.58$ 4.15 0.00%
20Y 3.25 11/2003
10/2023
1.89$ 4.35 2.34$ 5.43 2.87$ 6.11 3.27$ 7.04 02/1995
01/2015
3.90$ 3.50 0.00%
30Y 4.59 03/1994
02/2024
3.84$ 4.59 3.84$ 4.59 3.84$ 4.59 3.84$ 4.59 03/1994
02/2024
3.84$ 4.59 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 -20.44 11/2021
10/2022
0.79$ 0.33 1.00$ 7.59 1.07$ 15.02 1.15$ 39.22 07/1982
06/1983
1.39$ 6.36 13.88%
2Y -11.64 11/2021
10/2023
0.78$ 3.12 1.06$ 7.10 1.14$ 12.95 1.27$ 28.41 07/1984
06/1986
1.64$ -5.11 5.77%
3Y -4.03 11/2020
10/2023
0.88$ 3.84 1.11$ 7.22 1.23$ 12.08 1.40$ 21.51 08/1984
07/1987
1.79$ -1.30 3.51%
5Y -0.83 06/1965
05/1970
0.95$ 4.66 1.25$ 7.42 1.43$ 11.05 1.68$ 17.52 07/1982
06/1987
2.24$ 3.57 0.48%
7Y 1.20 06/1963
05/1970
1.08$ 5.16 1.42$ 7.48 1.65$ 10.67 2.03$ 14.15 08/1982
07/1989
2.52$ 3.26 0.00%
10Y 2.78 11/2013
10/2023
1.31$ 5.73 1.74$ 7.48 2.05$ 10.45 2.70$ 13.40 08/1982
07/1992
3.51$ 3.56 0.00%
15Y 4.01 07/1955
06/1970
1.80$ 5.89 2.35$ 7.73 3.05$ 10.12 4.24$ 13.15 08/1982
07/1997
6.37$ 6.28 0.00%
20Y 4.84 10/1961
09/1981
2.57$ 6.13 3.28$ 7.93 4.60$ 9.97 6.69$ 11.12 10/1981
09/2001
8.24$ 5.64 0.00%
30Y 5.83 07/1952
06/1982
5.47$ 6.91 7.41$ 8.57 11.79$ 9.40 14.82$ 10.55 07/1982
06/2012
20.24$ 6.70 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 -28.08 11/2021
10/2022
0.71$ -2.05 0.97$ 5.15 1.05$ 12.66 1.12$ 37.07 04/1985
03/1986
1.37$ 4.32 22.07%
2Y -17.18 11/2021
10/2023
0.68$ 0.34 1.00$ 4.89 1.10$ 10.40 1.21$ 27.13 07/1984
06/1986
1.61$ -9.78 13.38%
3Y -9.30 11/2020
10/2023
0.74$ 0.99 1.03$ 4.89 1.15$ 9.49 1.31$ 20.60 08/1984
07/1987
1.75$ -6.36 8.65%
5Y -3.39 07/1977
06/1982
0.84$ 1.68 1.08$ 4.93 1.27$ 8.91 1.53$ 15.78 07/1982
06/1987
2.08$ -0.08 6.74%
7Y -1.62 07/1975
06/1982
0.89$ 1.68 1.12$ 5.22 1.42$ 8.05 1.71$ 12.33 08/1982
07/1989
2.25$ 0.30 2.85%
10Y -0.78 07/1972
06/1982
0.92$ 1.88 1.20$ 5.52 1.71$ 7.74 2.10$ 10.87 08/1982
07/1992
2.80$ 1.31 0.78%
15Y 0.33 07/1967
06/1982
1.05$ 2.10 1.36$ 5.35 2.18$ 7.21 2.83$ 10.55 08/1982
07/1997
4.50$ 4.15 0.00%
20Y 0.74 10/1961
09/1981
1.15$ 2.67 1.69$ 5.30 2.80$ 7.13 3.96$ 8.68 07/1984
06/2004
5.28$ 3.50 0.00%
30Y 2.47 08/1954
07/1984
2.07$ 3.53 2.82$ 5.60 5.13$ 6.60 6.79$ 8.20 08/1982
07/2012
10.64$ 4.59 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 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.
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
0.64
40%
-1.05
40%
0.49
40%
0.41
80%
-0.04
60%
0.88
80%
2.23
100%
-0.28
40%
-3.43
0%
-0.11
60%
3.24
80%
1.04
80%
Best 5.8
2023
0.3
2024
3.6
2023
4.0
2020
1.1
2020
3.3
2019
4.7
2020
4.0
2019
-1.0
2019
3.6
2021
7.0
2023
5.0
2023
Worst -3.2
2022
-4.0
2023
-1.6
2020
-6.2
2022
-1.9
2023
-4.1
2022
0.2
2019
-3.7
2022
-7.3
2022
-2.6
2023
-0.5
2021
-3.0
2022
Monthly Seasonality over the period Feb 1950 - Feb 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
1.26
70%
-0.50
50%
0.43
50%
0.34
70%
0.35
70%
0.76
70%
1.32
80%
0.23
50%
-2.19
0%
-0.29
60%
1.53
70%
0.61
70%
Best 5.8
2023
2.2
2016
3.6
2023
4.0
2020
1.7
2018
4.2
2016
4.7
2020
4.0
2019
-0.2
2016
3.6
2021
7.0
2023
5.0
2023
Worst -3.2
2022
-4.0
2023
-1.6
2020
-6.2
2022
-1.9
2023
-4.1
2022
-1.0
2014
-3.7
2022
-7.3
2022
-4.0
2018
-3.0
2016
-3.0
2022
Monthly Seasonality over the period Feb 1950 - Feb 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
0.78
68%
0.27
63%
0.54
65%
0.62
73%
0.52
59%
0.50
59%
0.73
68%
0.63
59%
0.17
53%
0.43
64%
1.31
73%
1.07
76%
Best 5.8
2023
6.9
1986
6.7
1986
8.2
1980
6.1
2003
5.3
1980
5.1
1997
8.5
1982
4.9
1998
7.8
1974
7.0
2023
8.0
2008
Worst -7.6
2009
-4.8
1980
-7.5
1980
-6.2
2022
-4.4
1984
-4.1
2022
-3.9
2003
-4.4
1981
-7.3
2022
-8.1
2008
-3.0
2016
-4.0
1981
Monthly Seasonality over the period Feb 1950 - Feb 2024

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 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1950 - 29 February 2024 (~74 years)
234 Positive Months (65%) - 126 Negative Months (35%)
578 Positive Months (65%) - 312 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.

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 Hedged, 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 Hedged, up to December 2006
  • GLD - SPDR Gold Trust (GLD) to EUR Hedged, up to December 2004
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