Ray Dalio All Weather Portfolio To EUR: Rebalancing Strategy

Data Source: from January 1975 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 with a yearly rebalancing, you would have obtained a 7.35% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.32%.

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 guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1975.

Portfolio returns are calculated in EUR, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
RAY DALIO ALL WEATHER PORTFOLIO TO EUR RETURNS
Period: January 1975 - 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
(~49Y)
Yearly Rebalancing 3.61 (1) 6.17 (5) 7.36 (10) 7.35 (30) 9.59 (50)
Half Yearly Rebalancing 3.41 (2) 6.28 (10) 7.48 (20) 7.28 (60) 9.55 (99)
Quarterly Rebalancing 3.67 (4) 6.51 (20) 7.59 (40) 7.32 (120) 9.57 (197)
5% Tolerance per asset 3.94 (1) 6.86 (5) 7.70 (7) 7.19 (17) 9.60 (28)
10% Tolerance per asset 5.29 (1) 6.59 (2) 7.94 (3) 7.32 (6) 9.63 (9)

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

Performances as of Jan 31, 2024

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

RAY DALIO ALL WEATHER PORTFOLIO TO EUR PERFORMANCES
Period: January 1975 - 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 9.59 (50) 11.30 0.85 -23.42 0.41
Half Yearly Rebalancing 9.55 (99) 11.24 0.85 -22.48 0.42
Quarterly Rebalancing 9.57 (197) 11.24 0.85 -22.10 0.43
5% Tolerance per asset 9.60 (28) 11.30 0.85 -22.11 0.43
10% Tolerance per asset 9.63 (9) 11.47 0.84 -23.89 0.40
(*) Since Jan 1975 (~49 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Jan 31, 2024

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

RAY DALIO ALL WEATHER PORTFOLIO TO EUR DRAWDOWNS
Period: January 1975 - January 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-23.42
Jun 1986 - Jan 1989
-22.48
Jun 1986 - Jan 1989
-22.10
Jun 1986 - Jan 1989
-22.11
Jun 1986 - Jan 1989
-23.89
Jun 1986 - Jan 1989
-20.14
Sep 1989 - Apr 1991
-19.87
Sep 1989 - Apr 1991
-19.57
Sep 1989 - Mar 1991
-19.59
Sep 1989 - Mar 1991
-21.85
Nov 2000 - Nov 2008
-18.09
Nov 2000 - Sep 2005
-19.43
Nov 2000 - Nov 2005
-18.58
Nov 2000 - Nov 2005
-19.53
Nov 2000 - Nov 2005
-18.75
Sep 1989 - Apr 1991
-16.57
Feb 1994 - Nov 1995
-16.52
Feb 1994 - Nov 1995
-16.59
Feb 1994 - Nov 1995
-16.81
Feb 1994 - Nov 1995
-16.97
Feb 1994 - Nov 1995
-14.35
Jan 2022 - In progress
-14.35
Jan 2022 - In progress
-14.95
Jan 2022 - In progress
-13.97
Jan 2022 - In progress
-13.54
Jan 2022 - In progress
5 Worst Drawdowns - Average
-18.51 -18.53 -18.36 -18.40 -19.00
10 Worst Drawdowns - Average
-14.28 -14.37 -14.33 -14.51 -14.86

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