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

Data Source: from January 1975 to January 2024 (~49 years)
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.

The Ray Dalio All Weather Portfolio To EUR 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 obtained a 7.35% compound annual return, with a 9.83% standard deviation.

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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

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

Weight (%) Ticker Currency ETF Name Investment Themes
30.00
VTI
USD→EUR Vanguard Total Stock Market Equity, U.S., Large Cap
40.00
TLT
USD→EUR iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
15.00
IEI
USD→EUR iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term
7.50
DBC
USD→EUR Invesco DB Commodity Tracking Commodity, Broad Diversified
7.50
GLD
USD→EUR 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 Jan 31, 2024

The Ray Dalio All Weather Portfolio To EUR guaranteed the following returns.

Returns are calculated in EUR, assuming:
RAY DALIO ALL WEATHER PORTFOLIO TO EUR
Consolidated returns as of 31 January 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
Ray Dalio All Weather Portfolio To EUR n.a. n.a. 1.42 3.28 3.61 6.17 7.36 7.35 9.59
Euro Inflation Adjusted return 1.79 3.08 0.82 2.36 5.00 5.21 6.88
Components
VTI
USD→EUR Vanguard Total Stock Market n.a. - n.a. 3.10 7.56 19.65 14.71 14.41 10.08 12.58
TLT
USD→EUR iShares 20+ Year Treasury Bond n.a. - n.a. -0.33 -0.01 -6.56 -1.36 3.51 5.16 7.76
IEI
USD→EUR iShares 3-7 Year Treasury Bond n.a. - n.a. 2.27 5.08 2.81 1.87 3.40 4.24 6.87
DBC
USD→EUR Invesco DB Commodity Tracking n.a. - n.a. 3.30 -3.61 -5.48 10.28 1.96 4.10 6.16
GLD
USD→EUR SPDR Gold Trust n.a. - n.a. 0.51 4.98 5.43 9.82 6.94 5.61 5.28
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 2.77% , 5Y: 3.72% , 10Y: 2.25% , 30Y: 2.03%

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 8.40$, with a total return of 739.72% (7.35% annualized).

The Inflation Adjusted Capital now would be 4.59$, with a net total return of 359.47% (5.21% annualized).
An investment of 1$, since January 1975, now would be worth 89.43$, with a total return of 8843.41% (9.59% annualized).

The Inflation Adjusted Capital now would be 26.22$, with a net total return of 2522.40% (6.88% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Ray Dalio All Weather Portfolio To EUR, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
RAY DALIO ALL WEATHER PORTFOLIO TO EUR
Advanced Metrics
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) 1.42 9.47 3.28 3.61 3.27 6.17 7.36 7.18 7.35 9.59
Infl. Adjusted Return (%) details 1.79 10.31 3.08 0.82 -2.10 2.36 5.00 5.00 5.21 6.88
Euro Inflation (%) -0.36 -0.75 0.19 2.77 5.48 3.72 2.25 2.08 2.03 2.53
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -5.66 -14.35 -14.35 -14.35 -14.35 -18.09 -23.42
Start to Recovery (# months) details 5 25* 25* 25* 25* 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 3 3 3 3 21 13
End (yyyy mm) 2023 12 - - - - 2005 09 1989 01
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-9.52
same as
deepest
-18.09
Start to Recovery (# months) details 33 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 25 38 38
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2008 03 2003 12 2003 12
Bottom to End (# months) 2 3 3 3 8 21 21
End (yyyy mm) 2023 12 - - - 2008 11 2005 09 2005 09
Longest negative period (# months) details 10 31 42 42 46 95 95
Period Start (yyyy mm) 2023 02 2021 04 2020 05 2020 05 2006 01 2000 09 2000 09
Period End (yyyy mm) 2023 11 2023 10 2023 10 2023 10 2009 10 2008 07 2008 07
Annualized Return (%) -1.84 -0.24 -0.60 -0.60 -0.21 -0.42 -0.42
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.60 -24.10 -24.10 -24.10 -24.10 -24.10 -24.10
Start to Recovery (# months) details 12 25* 25* 25* 25* 25* 25*
Start (yyyy mm) 2023 02 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 9 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) 3 3 3 3 3 3 3
End (yyyy mm) 2024 01 - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-15.80 -24.07 -24.07
Start to Recovery (# months) details 48 115 115
Start (yyyy mm) 2023 02 2022 01 2022 01 2022 01 2006 03 2000 11 2000 11
Start to Bottom (# months) 9 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) 3 3 3 3 19 65 65
End (yyyy mm) 2024 01 - - - 2010 02 2010 05 2010 05
Longest negative period (# months) details 11 36* 55 80 80 128 128
Period Start (yyyy mm) 2023 02 2021 02 2019 04 2017 03 2017 03 2000 11 2000 11
Period End (yyyy mm) 2023 12 2024 01 2023 10 2023 10 2023 10 2011 06 2011 06
Annualized Return (%) -1.05 -2.10 -0.47 -0.01 -0.01 -0.06 -0.06
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 7.14 8.82 8.23 8.79 9.17 9.83 11.30
Sharpe Ratio -0.21 0.12 0.53 0.71 0.64 0.52 0.50
Sortino Ratio -0.31 0.18 0.80 1.08 0.98 0.78 0.73
Ulcer Index 1.93 7.00 5.52 4.90 4.80 6.72 6.52
Ratio: Return / Standard Deviation 0.51 0.37 0.75 0.84 0.78 0.75 0.85
Ratio: Return / Deepest Drawdown 0.64 0.23 0.43 0.51 0.50 0.41 0.41
% Positive Months details 50% 47% 51% 57% 55% 57% 59%
Positive Months 6 17 31 69 133 207 353
Negative Months 6 19 29 51 107 153 236
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 7.36 11.00 11.00 18.50
Worst 10 Years Return (%) - Annualized 6.56 2.17 2.17
Best 10 Years Return (%) - Annualized 5.00 9.52 9.52 13.83
Worst 10 Years Return (%) - Annualized 4.30 0.12 0.12
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 43.60 23.97 20.69 11.00 10.17 7.35
Worst Rolling Return (%) - Annualized -15.53 -5.20 -0.97 2.17 5.73
% Positive Periods 73% 91% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.30 28.55 16.96 8.64 5.51 6.85
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.10 3.03 5.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 41.50 21.88 18.82 9.52 8.21 5.21
Worst Rolling Return (%) - Annualized -20.61 -7.16 -3.06 0.12 4.07
% Positive Periods 65% 79% 89% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.30 28.55 16.96 8.64 5.51 6.85
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.10 3.03 5.36
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1975 - Jan 2024)
Best Rolling Return (%) - Annualized 58.76 34.85 29.64 18.50 14.51 11.06
Worst Rolling Return (%) - Annualized -17.97 -5.20 -0.97 2.17 5.73 7.12
% Positive Periods 74% 92% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.30 28.55 16.96 8.64 5.51 5.98
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.10 3.03 4.93
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 53.58 30.83 24.52 13.83 11.60 8.09
Worst Rolling Return (%) - Annualized -20.83 -7.16 -3.06 0.12 4.07 4.93
% Positive Periods 69% 83% 93% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.30 28.55 16.96 8.64 5.51 5.98
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.10 3.03 4.93
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 31 January 2024
Swipe left to see all data
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.69
-0.11
-0.19
-0.32
TLT
0.69
-
0.14
-0.63
-0.03
IEI
-0.11
0.14
-
-0.02
0.20
DBC
-0.19
-0.63
-0.02
-
-0.15
GLD
-0.32
-0.03
0.20
-0.15
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.04
-0.05
0.39
-0.03
TLT
0.04
-
0.58
-0.50
0.23
IEI
-0.05
0.58
-
-0.26
0.05
DBC
0.39
-0.50
-0.26
-
-0.19
GLD
-0.03
0.23
0.05
-0.19
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.11
0.16
0.37
-0.02
TLT
0.11
-
0.71
-0.37
0.41
IEI
0.16
0.71
-
-0.11
0.29
DBC
0.37
-0.37
-0.11
-
-0.02
GLD
-0.02
0.41
0.29
-0.02
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.10
0.24
0.30
0.05
TLT
0.10
-
0.80
-0.11
0.28
IEI
0.24
0.80
-
0.05
0.29
DBC
0.30
-0.11
0.05
-
0.21
GLD
0.05
0.28
0.29
0.21
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.31
0.42
0.29
0.15
TLT
0.31
-
0.85
0.02
0.22
IEI
0.42
0.85
-
0.19
0.28
DBC
0.29
0.02
0.19
-
0.29
GLD
0.15
0.22
0.28
0.29
-

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
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-18.09% Nov 2000 Dec 2003 38 Sep 2005 21 59 11.46
-16.57% Feb 1994 Oct 1994 9 Nov 1995 13 22 10.57
-14.35% Jan 2022 Oct 2023 22 in progress 3 25 8.35
-9.52% Mar 2006 Mar 2008 25 Nov 2008 8 33 5.43
-9.21% Aug 2012 Sep 2013 14 Jul 2014 10 24 5.80
-8.73% Apr 2015 Aug 2015 5 Jun 2016 10 15 5.25
-8.71% Mar 2017 Mar 2018 13 Jan 2019 10 23 5.01
-8.68% Dec 2008 May 2009 6 Jan 2010 8 14 5.00
-7.77% Jul 1998 Aug 1998 2 Jan 1999 5 7 4.83
-7.21% Sep 2010 Apr 2011 8 Sep 2011 5 13 4.51
-5.37% Feb 1996 Jul 1996 6 Sep 1996 2 8 2.86
-5.02% Aug 1997 Oct 1997 3 Dec 1997 2 5 2.91
-4.72% Jul 2010 Jul 2010 1 Aug 2010 1 2 2.72
-4.40% Jul 1999 Jul 1999 1 Nov 1999 4 5 2.44
-4.21% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.43
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 79 4.6 Months 21.88%
 
DD = 0% 21.88%
 
0% < DD <= -5% 138 2.6 Months 38.23%
 
DD <= -5% 60.11%
 
-5% < DD <= -10% 91 4.0 Months 25.21%
 
DD <= -10% 85.32%
 
-10% < DD <= -15% 38 9.5 Months 10.53%
 
DD <= -15% 95.84%
 
-15% < DD <= -20% 15 24.1 Months 4.16%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
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
-24.10% Jan 2022 Oct 2023 22 in progress 3 25 15.86
-24.07% Nov 2000 Dec 2004 50 May 2010 65 115 14.99
-18.38% Feb 1994 Mar 1995 14 Dec 1995 9 23 12.19
-11.18% Aug 2012 Sep 2013 14 Aug 2014 11 25 7.11
-10.64% Mar 2017 Mar 2018 13 Mar 2019 12 25 6.23
-9.86% Sep 2010 Apr 2011 8 Sep 2011 5 13 5.96
-8.74% Apr 2015 Sep 2015 6 Jun 2016 9 15 5.21
-8.05% Apr 1998 Aug 1998 5 Jan 1999 5 10 4.39
-6.52% Feb 1996 Jul 1996 6 Oct 1996 3 9 3.43
-5.27% Aug 1997 Oct 1997 3 Jan 1998 3 6 2.87
-4.55% Jul 1999 Jul 1999 1 Nov 1999 4 5 2.61
-4.31% Jul 2010 Jul 2010 1 Aug 2010 1 2 2.49
-4.30% Feb 2012 Mar 2012 2 May 2012 2 4 2.38
-4.29% Mar 1997 Mar 1997 1 Apr 1997 1 2 2.48
-3.35% May 2020 Feb 2021 10 Jun 2021 4 14 1.77
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 61 5.9 Months 16.90%
 
DD = 0% 16.90%
 
0% < DD <= -5% 93 3.9 Months 25.76%
 
DD <= -5% 42.66%
 
-5% < DD <= -10% 82 4.4 Months 22.71%
 
DD <= -10% 65.37%
 
-10% < DD <= -15% 53 6.8 Months 14.68%
 
DD <= -15% 80.06%
 
-15% < DD <= -20% 43 8.4 Months 11.91%
 
DD <= -20% 91.97%
 
-20% < DD <= -25% 29 12.4 Months 8.03%
 
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
-23.42% Jun 1986 Dec 1987 19 Jan 1989 13 32 10.28
-20.14% Sep 1989 Oct 1990 14 Apr 1991 6 20 12.22
-18.09% Nov 2000 Dec 2003 38 Sep 2005 21 59 11.46
-16.57% Feb 1994 Oct 1994 9 Nov 1995 13 22 10.57
-14.35% Jan 2022 Oct 2023 22 in progress 3 25 8.35
-11.28% Jan 1977 Sep 1978 21 Mar 1979 6 27 4.95
-10.14% Jul 1985 Sep 1985 3 Mar 1986 6 9 7.21
-10.07% Sep 1991 Aug 1992 12 Oct 1992 2 14 4.42
-9.52% Mar 2006 Mar 2008 25 Nov 2008 8 33 5.43
-9.21% Aug 2012 Sep 2013 14 Jul 2014 10 24 5.80
-9.13% Feb 1984 May 1984 4 Aug 1984 3 7 6.26
-8.73% Apr 2015 Aug 2015 5 Jun 2016 10 15 5.25
-8.71% Mar 2017 Mar 2018 13 Jan 2019 10 23 5.01
-8.68% Dec 2008 May 2009 6 Jan 2010 8 14 5.00
-7.87% Aug 1981 Sep 1981 2 Nov 1981 2 4 4.34
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 163 3.6 Months 27.63%
 
DD = 0% 27.63%
 
0% < DD <= -5% 211 2.8 Months 35.76%
 
DD <= -5% 63.39%
 
-5% < DD <= -10% 137 4.3 Months 23.22%
 
DD <= -10% 86.61%
 
-10% < DD <= -15% 52 11.3 Months 8.81%
 
DD <= -15% 95.42%
 
-15% < DD <= -20% 24 24.6 Months 4.07%
 
DD <= -20% 99.49%
 
-20% < DD <= -25% 3 196.7 Months 0.51%
 
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
-24.10% Jan 2022 Oct 2023 22 in progress 3 25 15.86
-24.07% Nov 2000 Dec 2004 50 May 2010 65 115 14.99
-23.93% Sep 1989 Oct 1990 14 Nov 1992 25 39 11.52
-23.50% Jun 1986 Dec 1987 19 Mar 1989 15 34 10.25
-18.38% Feb 1994 Mar 1995 14 Dec 1995 9 23 12.19
-15.71% Jan 1977 Sep 1978 21 May 1980 20 41 7.33
-11.18% Aug 2012 Sep 2013 14 Aug 2014 11 25 7.11
-10.64% Mar 2017 Mar 2018 13 Mar 2019 12 25 6.23
-9.94% Jul 1985 Sep 1985 3 Mar 1986 6 9 7.24
-9.86% Sep 2010 Apr 2011 8 Sep 2011 5 13 5.96
-9.74% Feb 1984 May 1984 4 Aug 1984 3 7 6.71
-8.74% Apr 2015 Sep 2015 6 Jun 2016 9 15 5.21
-8.56% Aug 1981 Sep 1981 2 Mar 1982 6 8 4.29
-8.05% Apr 1998 Aug 1998 5 Jan 1999 5 10 4.39
-6.52% Feb 1996 Jul 1996 6 Oct 1996 3 9 3.43
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 126 4.7 Months 21.36%
 
DD = 0% 21.36%
 
0% < DD <= -5% 166 3.6 Months 28.14%
 
DD <= -5% 49.49%
 
-5% < DD <= -10% 141 4.2 Months 23.90%
 
DD <= -10% 73.39%
 
-10% < DD <= -15% 68 8.7 Months 11.53%
 
DD <= -15% 84.92%
 
-15% < DD <= -20% 52 11.3 Months 8.81%
 
DD <= -20% 93.73%
 
-20% < DD <= -25% 37 15.9 Months 6.27%
 
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%
 

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 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 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 -15.53 04/2002
03/2003
0.84$ -3.76 0.96$ 6.64 1.06$ 21.33 1.21$ 43.60 08/1996
07/1997
1.43$ 3.61 26.93%
2Y -8.65 06/2001
05/2003
0.83$ 0.13 1.00$ 8.53 1.17$ 16.97 1.36$ 29.12 11/1998
10/2000
1.66$ -2.20 14.24%
3Y -5.20 06/2001
05/2004
0.85$ 1.32 1.04$ 8.64 1.28$ 15.13 1.52$ 23.97 04/1995
03/1998
1.90$ 3.27 8.92%
5Y -0.97 06/2001
05/2006
0.95$ 3.11 1.16$ 7.38 1.42$ 12.89 1.83$ 20.69 05/1995
04/2000
2.56$ 6.17 1.33%
7Y -0.67 07/2001
06/2008
0.95$ 4.09 1.32$ 7.69 1.67$ 11.46 2.13$ 16.37 04/1995
03/2002
2.88$ 5.00 1.81%
10Y 2.17 11/2000
10/2010
1.23$ 4.32 1.52$ 8.08 2.17$ 9.58 2.49$ 11.00 09/2009
08/2019
2.83$ 7.36 0.00%
15Y 5.40 09/2000
08/2015
2.20$ 6.41 2.53$ 7.43 2.92$ 8.51 3.40$ 8.97 07/1995
06/2010
3.62$ 7.85 0.00%
20Y 5.73 11/2000
10/2020
3.04$ 6.59 3.58$ 7.04 3.90$ 8.76 5.35$ 10.17 04/1995
03/2015
6.94$ 7.18 0.00%
30Y 7.35 02/1994
01/2024
8.39$ 7.35 8.39$ 7.35 8.39$ 7.35 8.39$ 7.35 02/1994
01/2024
8.39$ 7.35 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 -20.61 01/2022
12/2022
0.79$ -6.06 0.93$ 5.18 1.05$ 19.39 1.19$ 41.50 08/1996
07/1997
1.41$ 0.82 34.38%
2Y -12.13 11/2021
10/2023
0.77$ -3.17 0.93$ 6.82 1.14$ 15.60 1.33$ 26.78 11/1998
10/2000
1.60$ -7.45 25.22%
3Y -7.16 06/2001
05/2004
0.80$ -1.41 0.95$ 7.00 1.22$ 13.80 1.47$ 21.88 04/1995
03/1998
1.81$ -2.10 20.62%
5Y -3.06 06/2001
05/2006
0.85$ 0.79 1.03$ 5.82 1.32$ 11.48 1.72$ 18.82 05/1995
04/2000
2.36$ 2.36 10.63%
7Y -2.96 07/2001
06/2008
0.81$ 1.31 1.09$ 5.81 1.48$ 10.01 1.94$ 14.29 04/1995
03/2002
2.54$ 1.94 9.39%
10Y 0.12 11/2000
10/2010
1.01$ 2.16 1.23$ 6.22 1.82$ 7.93 2.14$ 9.52 09/2009
08/2019
2.48$ 5.00 0.00%
15Y 3.52 09/2000
08/2015
1.68$ 4.44 1.91$ 5.60 2.26$ 6.58 2.60$ 7.27 01/2007
12/2021
2.86$ 5.66 0.00%
20Y 4.07 11/2000
10/2020
2.22$ 4.66 2.48$ 5.16 2.73$ 6.93 3.82$ 8.21 04/1995
03/2015
4.84$ 5.00 0.00%
30Y 5.21 02/1994
01/2024
4.59$ 5.21 4.59$ 5.21 4.59$ 5.21 4.59$ 5.21 02/1994
01/2024
4.59$ 5.21 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 -17.97 09/1989
08/1990
0.82$ -4.01 0.95$ 8.63 1.08$ 24.42 1.24$ 58.76 06/1982
05/1983
1.58$ 3.61 25.26%
2Y -8.65 06/2001
05/2003
0.83$ 0.42 1.00$ 9.60 1.20$ 19.10 1.41$ 38.60 02/1982
01/1984
1.92$ -2.20 13.07%
3Y -5.20 06/2001
05/2004
0.85$ 2.36 1.07$ 8.98 1.29$ 17.42 1.61$ 34.85 03/1982
02/1985
2.45$ 3.27 7.04%
5Y -0.97 06/2001
05/2006
0.95$ 4.46 1.24$ 8.70 1.51$ 16.64 2.15$ 29.64 03/1980
02/1985
3.66$ 6.17 0.75%
7Y -0.67 07/2001
06/2008
0.95$ 5.19 1.42$ 9.09 1.83$ 14.99 2.65$ 23.05 03/1978
02/1985
4.27$ 5.00 0.99%
10Y 2.17 11/2000
10/2010
1.23$ 6.30 1.84$ 9.36 2.44$ 13.76 3.63$ 18.50 02/1975
01/1985
5.45$ 7.36 0.00%
15Y 5.40 09/2000
08/2015
2.20$ 6.84 2.69$ 8.77 3.52$ 12.02 5.48$ 14.69 12/1978
11/1993
7.81$ 7.85 0.00%
20Y 5.73 11/2000
10/2020
3.04$ 6.95 3.83$ 8.52 5.13$ 12.66 10.84$ 14.51 04/1980
03/2000
15.01$ 7.18 0.00%
30Y 7.12 11/1993
10/2023
7.86$ 8.25 10.77$ 8.84 12.70$ 10.34 19.15$ 11.06 10/1975
09/2005
23.28$ 7.35 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 -20.83 09/1989
08/1990
0.79$ -5.85 0.94$ 5.91 1.05$ 21.52 1.21$ 53.58 06/1982
05/1983
1.53$ 0.82 30.62%
2Y -12.13 11/2021
10/2023
0.77$ -2.01 0.96$ 7.08 1.14$ 16.30 1.35$ 34.09 02/1982
01/1984
1.79$ -7.45 24.03%
3Y -7.16 06/2001
05/2004
0.80$ -0.19 0.99$ 6.70 1.21$ 14.63 1.50$ 30.83 03/1982
02/1985
2.23$ -2.10 16.79%
5Y -3.06 06/2001
05/2006
0.85$ 1.93 1.10$ 6.32 1.35$ 14.18 1.94$ 24.52 03/1980
02/1985
2.99$ 2.36 6.04%
7Y -2.96 07/2001
06/2008
0.81$ 2.90 1.22$ 7.20 1.62$ 11.97 2.20$ 18.12 03/1978
02/1985
3.20$ 1.94 5.14%
10Y 0.12 11/2000
10/2010
1.01$ 4.08 1.49$ 7.47 2.05$ 10.73 2.77$ 13.83 11/1990
10/2000
3.65$ 5.00 0.00%
15Y 3.52 09/2000
08/2015
1.68$ 4.87 2.04$ 6.73 2.65$ 8.89 3.58$ 11.12 12/1978
11/1993
4.86$ 5.66 0.00%
20Y 4.07 11/2000
10/2020
2.22$ 4.99 2.64$ 6.28 3.38$ 9.74 6.41$ 11.60 04/1980
03/2000
8.97$ 5.00 0.00%
30Y 4.93 11/1993
10/2023
4.24$ 6.05 5.82$ 6.71 7.02$ 7.63 9.07$ 8.09 10/1975
09/2005
10.31$ 5.21 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: 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.
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
1.40
60%
0.01
40%
1.23
80%
0.76
60%
-0.19
40%
1.08
60%
2.28
80%
0.42
40%
-1.43
20%
-0.50
20%
1.84
80%
-0.56
40%
Best 4.4
2023
1.4
2019
4.1
2019
4.8
2020
1.3
2023
5.3
2021
6.0
2022
5.0
2019
0.6
2020
3.9
2021
4.0
2023
3.7
2023
Worst -2.0
2022
-1.3
2023
-1.6
2020
-1.5
2022
-2.3
2022
-1.6
2022
-0.1
2020
-2.0
2022
-4.7
2022
-2.6
2023
-0.1
2022
-5.5
2022
Monthly Seasonality over the period Feb 1975 - Jan 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
1.88
60%
0.47
50%
0.66
60%
-0.05
60%
1.02
60%
0.60
60%
1.32
80%
0.66
50%
-0.73
40%
0.44
40%
1.49
80%
-0.25
50%
Best 11.1
2015
4.1
2017
4.1
2019
4.8
2020
5.2
2018
5.3
2021
6.0
2022
5.3
2014
1.4
2014
3.9
2021
4.0
2023
3.9
2014
Worst -2.9
2018
-1.3
2023
-2.4
2016
-5.1
2015
-2.3
2022
-3.5
2015
-2.7
2017
-3.9
2015
-4.7
2022
-2.6
2023
-0.9
2017
-5.5
2022
Monthly Seasonality over the period Feb 1975 - Jan 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
1.79
70%
0.60
61%
0.76
49%
0.65
63%
1.60
63%
0.97
65%
0.34
55%
1.28
65%
-0.36
49%
0.54
55%
1.29
65%
0.34
57%
Best 11.1
2015
6.1
1991
12.4
1991
10.3
1980
9.3
1981
10.8
1975
10.4
1997
10.5
1982
9.1
2011
9.8
1982
7.1
1980
5.4
1976
Worst -4.8
1990
-8.7
1984
-4.7
1994
-5.8
1986
-4.4
2009
-6.7
2002
-7.0
1985
-5.1
1998
-8.1
1978
-10.6
1987
-6.7
1987
-5.8
2000
Monthly Seasonality over the period Feb 1975 - Jan 2024

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 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
207 Positive Months (58%) - 153 Negative Months (43%)
353 Positive Months (60%) - 236 Negative Months (40%)
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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.

Returns are calculated based on the performance of the original US asset, adjusted for actual currency exchange rates.

In particular, the series derived from equivalent datasets are:
  • VTI - Vanguard Total Stock Market (VTI) to EUR, up to December 2001
  • TLT - iShares 20+ Year Treasury Bond (TLT) to EUR, up to December 2002
  • IEI - iShares 3-7 Year Treasury Bond (IEI) to EUR, up to December 2007
  • DBC - Invesco DB Commodity Tracking (DBC) to EUR, up to December 2006
  • GLD - SPDR Gold Trust (GLD) to EUR, up to December 2004
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