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

Data Source: from August 1953 to June 2024 (~71 years)
Consolidated Returns as of 30 June 2024
Currency: EUR

The Ray Dalio All Weather Portfolio To EUR can be implemented with 5 ETFs. This portfolio has a medium risk, signifying moderate fluctuations in value. It is suitable for investors with a balanced approach to risk and return, seeking steady growth while tolerating some level of volatility.

The asset allocation is the following: 30% on the Stock Market, 55% on Fixed Income, 15% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 55% allocation to bonds, leading to its classification as medium risk.

As of June 2024, in the previous 30 Years, the Ray Dalio All Weather Portfolio To EUR obtained a 7.98% compound annual return, with a 9.53% standard deviation. It suffered a maximum drawdown of -18.09% that required 59 months to be recovered.

Table of contents

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Asset Allocation and ETFs

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

          30% Stocks
        
          55% Fixed Income
        
          15% Commodities

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

Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
30.00	XD9U.DE	EUR	Xtrackers MSCI USA	Equity, U.S., Large Cap (USD)
40.00	IS04.DE	EUR	iShares USD Treasury Bond 20+yr	Bond, U.S., Long-Term (USD)
15.00	SXRL.DE	EUR	iShares USD Treasury Bond 3-7yr	Bond, U.S., Intermediate-Term (USD)
7.50	PHAU	EUR	WisdomTree Physical Gold	Commodity, Gold (USD)
7.50	UIQK.DE	EUR	UBS CMCI Composite SF	Commodity, Broad Diversified (USD)

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.

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Portfolio and ETF Returns as of Jun 30, 2024

The Ray Dalio All Weather Portfolio To EUR 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 actual Euro Inflation rates.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR

Data Source: 1 August 1953 - 30 June 2024 (~71 years)

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			Chg (%)		Return (%)	Return (%) as of Jun 30, 2024
			1 Day	*Time ET^()**	Jul 2024	1M	6M	1Y	5Y	10Y	30Y	MAX (~71Y)
Ray Dalio All Weather Portfolio To EUR			n.a.		n.a.	4.04	6.89	9.52	5.61	7.20	7.98	8.23
Euro Inflation Adjusted return						3.82	4.75	6.82	1.81	4.74	5.79	5.41
*Components*
XD9U.DE	EUR	Xtrackers MSCI USA	n.a.	-	n.a.	6.95	19.00	27.83	16.23	15.22	11.19	11.34
IS04.DE	EUR	iShares USD Treasury Bond 20+yr	n.a.	-	n.a.	4.11	-1.79	-4.45	-3.57	2.96	5.76	5.77
SXRL.DE	EUR	iShares USD Treasury Bond 3-7yr	n.a.	-	n.a.	1.20	-0.06	3.30	0.01	1.09	3.91	5.31
PHAU	EUR	WisdomTree Physical Gold	n.a.	-	n.a.	1.06	16.15	23.21	11.44	8.06	6.28	6.11
UIQK.DE	EUR	UBS CMCI Composite SF	n.a.	-	n.a.	0.19	9.46	11.92	12.35	3.78	5.03	6.53
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Jun 2024. Inflation (annualized) is 1Y: 2.53% , 5Y: 3.73% , 10Y: 2.35% , 30Y: 2.07%

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USD

EUR

Capital Growth as of Jun 30, 2024

An investment of 1€, from July 1994 to June 2024, would be worth 10.01€, with a total return of 900.72% (7.98% annualized).

The Inflation Adjusted Capital would be 5.41€, with a net total return of 441.45% (5.79% annualized).

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An investment of 1€, from August 1953 to June 2024, would be worth 273.39€, with a total return of 27238.76% (8.23% annualized).

The Inflation Adjusted Capital would be 41.90€, with a net total return of 4089.68% (5.41% annualized).

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Portfolio Metrics as of Jun 30, 2024

Metrics of Ray Dalio All Weather Portfolio To EUR, updated as of 30 June 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

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 actual Euro Inflation rates.

RAY DALIO ALL WEATHER PORTFOLIO TO EUR

Advanced Metrics

Data Source: 1 August 1953 - 30 June 2024 (~71 years)

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	Metrics as of Jun 30, 2024
	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~71Y)
Investment Return (%)	4.04	2.37	6.89	9.52	2.61	5.61	7.20	7.25	7.98	8.23
Infl. Adjusted Return (%)	3.82	1.34	4.75	6.82	-2.77	1.81	4.74	5.03	5.79	5.41
Euro Inflation (%)	0.21	1.01	2.05	2.53	5.53	3.73	2.35	2.11	2.07	2.68
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:			Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)			-1.47	-5.45	-14.85	-14.85	-14.85	-14.85	-18.09	-23.42
Start to Recovery (# months)			30*	5	30*	30*	30*	30*	59	32
Start (yyyy mm)				2023 08	2022 01	2022 01	2022 01	2022 01	2000 11	1986 06
Start to Bottom (# months)				3	22	22	22	22	38	19
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2023 10	2003 12	1987 12
Bottom to End (# months)				2	8	8	8	8	21	13
End (yyyy mm)				2023 12	-	-	-	-	2005 09	1989 01
Longest Drawdown Depth (%)				same	same	same	same	-9.54	same	-18.09
Start to Recovery (# months)				same	same	same	same	33	same	59
Start (yyyy mm)				2023 08	2022 01	2022 01	2022 01	2006 03	2000 11	2000 11
Start to Bottom (# months)				3	22	22	22	29	38	38
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2008 07	2003 12	2003 12
Bottom to End (# months)				2	8	8	8	4	21	21
End (yyyy mm)				2023 12	-	-	-	2008 11	2005 09	2005 09
Longest negative period (# months)				5	33	42	42	46	95	95
Period Start (yyyy mm)				2023 07	2021 09	2020 05	2020 05	2006 01	2000 09	2000 09
Period End (yyyy mm)				2023 11	2024 05	2023 10	2023 10	2009 10	2008 07	2008 07
Annualized Return (%)				-3.55	-0.04	-0.86	-0.86	-0.23	-0.43	-0.43
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%)			-14.09	-6.35	-24.54	-24.54	-24.54	-24.54	-24.54	-24.54
Start to Recovery (# months)			30*	5	30*	30*	30*	30*	30*	30*
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	8	8	8	8	8	8
End (yyyy mm)				2023 12	-	-	-	-	-	-
Longest Drawdown Depth (%)				same	same	same	same	-15.81	-24.07	-24.07
Start to Recovery (# months)				same	same	same	same	48	115	115
Start (yyyy mm)				2023 08	2022 01	2022 01	2022 01	2006 03	2000 11	2000 11
Start to Bottom (# months)				3	22	22	22	29	50	50
Bottom (yyyy mm)				2023 10	2023 10	2023 10	2023 10	2008 07	2004 12	2004 12
Bottom to End (# months)				2	8	8	8	19	65	65
End (yyyy mm)				2023 12	-	-	-	2010 02	2010 05	2010 05
Longest negative period (# months)				5	36*	57	57	57	128	170
Period Start (yyyy mm)				2023 07	2021 07	2019 09	2019 09	2019 09	2000 11	1961 03
Period End (yyyy mm)				2023 11	2024 06	2024 05	2024 05	2024 05	2011 06	1975 04
Annualized Return (%)				-4.26	-2.77	-0.58	-0.58	-0.58	-0.05	-0.04
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)				8.37	8.57	8.06	8.17	8.84	9.53	9.96
Sharpe Ratio				0.50	-0.04	0.45	0.72	0.66	0.60	0.43
Sortino Ratio				0.72	-0.06	0.66	1.08	1.02	0.90	0.63
Ulcer Index				1.97	8.06	6.33	5.07	4.87	6.24	5.86
Ratio: Return / Standard Deviation				1.14	0.30	0.70	0.88	0.82	0.84	0.83
Ratio: Return / Deepest Drawdown				1.75	0.18	0.38	0.48	0.49	0.44	0.35
Positive Months (%)				66.66	55.55	58.33	58.33	56.66	58.88	60.86
Positive Months				8	20	35	70	136	212	518
Negative Months				4	16	25	50	104	148	333
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:				1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized							7.20	10.70	10.70	18.50
Worst 10 Years Return (%) - Annualized							7.20	6.27	2.17	2.17
Best 10 Years Return (%) - Annualized							4.74	9.22	9.22	13.83
Worst 10 Years Return (%) - Annualized							4.74	4.07	0.12	-1.06
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Jun 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized				43.60	23.97	20.69	10.70	10.03	7.98
Worst Rolling Return (%) - Annualized				-15.53	-5.20	-0.97	2.17	5.69	7.98
Positive Periods (%)				74.4	90.7	98.6	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				41.50	21.88	18.82	9.22	8.07	5.79
Worst Rolling Return (%) - Annualized				-21.29	-7.16	-3.06	0.12	4.03	5.79
Positive Periods (%)				66.7	77.8	89.3	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative	3.85	5.80	7.01	7.59	9.63	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	4.99	7.78	9.81	10.89	12.72	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	5.72	9.05	11.60	14.06	15.58	2.05	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	6.91	11.12	14.53	14.95	16.10	4.36	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				89.18	28.55	16.96	8.64	5.49	8.15
Perpetual Withdrawal Rate (%)				---	---	---	0.10	3.00	6.65
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Aug 1953 - Jun 2024)
Best Rolling Return (%) - Annualized				58.76	34.85	29.64	18.50	14.51	12.26
Worst Rolling Return (%) - Annualized				-17.97	-5.20	-0.97	2.17	4.53	7.04
Positive Periods (%)				76.9	94.7	99.4	100.0	100.0	100.0
Best Rolling Return (%) - Annualized				53.58	30.83	24.52	13.83	11.60	8.56
Worst Rolling Return (%) - Annualized				-21.29	-7.16	-3.10	-1.06	1.20	4.29
Positive Periods (%)				69.1	81.4	91.2	97.1	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative	4.03	6.09	7.37	7.83	1.01	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)	5.22	8.16	10.30	11.41	8.69	0.00	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative	5.99	9.48	12.18	14.06	12.71	0.00	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)	7.24	11.64	15.23	15.86	14.64	1.18	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)				88.28	28.55	16.96	8.64	5.49	4.59
Perpetual Withdrawal Rate (%)				---	---	---	---	1.25	3.32
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| 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.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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.

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Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 30 June 2024

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Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.

A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate 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

Drawdown periods

Drawdown periods - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 August 1953 - 30 June 2024 (~71 years)

Inflation Adjusted:

Chart Table Range

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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

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 August 1953 - 30 June 2024 (~71 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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

Seasonality

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

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the data source from August 1953 to June 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Ray Dalio All Weather Portfolio To EUR 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

Monthly Returns Distribution

Data Source: 1 July 1994 - 30 June 2024 (30 Years)

Data Source: 1 August 1953 - 30 June 2024 (~71 years)

212 Positive Months (59%) - 148 Negative Months (41%)

518 Positive Months (61%) - 333 Negative Months (39%)

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Investment Returns, up to April 2015, 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.

In particular, the series derived from equivalent datasets are:

Xtrackers MSCI USA (XD9U.DE), up to May 2014
iShares USD Treasury Bond 20+yr (IS04.DE), up to April 2015
iShares USD Treasury Bond 3-7yr (SXRL.DE), up to May 2014

WisdomTree Physical Gold (PHAU), up to January 2008
UBS CMCI Composite SF (UIQK.DE), up to May 2014

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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The following portfolios share asset allocation strategy and/or similar asset weights.

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The first official book of

Mastering ETF Investing

Build wealth
with Lazy Portfolios and Passive Investing

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English book

Buy now
Italian book