Ray Dalio All Weather Portfolio: ETF allocation and returns

Data Source: from January 1871 to February 2024 (~153 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.76%
1 Day
Mar 01 2024
0.76%
Current Month
March 2024

The Ray Dalio All Weather Portfolio 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 obtained a 7.34% compound annual return, with a 7.40% standard deviation.

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Asset Allocation and ETFs

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

30% Stocks
55% Fixed Income
15% Commodities

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

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

Returns are calculated in USD, assuming: March 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
RAY DALIO ALL WEATHER PORTFOLIO
Consolidated returns as of 29 February 2024
Live Update: Mar 01 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
(~153Y)
Ray Dalio All Weather Portfolio 0.76 0.76 0.44 4.16 7.84 4.93 4.82 7.34 6.30
US Inflation Adjusted return 0.44 2.98 5.00 0.79 1.99 4.70 4.10
Components
VTI
USD Vanguard Total Stock Market 0.92 Mar 01 2024 0.92 5.30 13.69 28.61 13.82 11.96 10.22 9.14
TLT
USD iShares 20+ Year Treasury Bond 0.62 Mar 01 2024 0.62 -2.26 -0.68 -4.13 -2.64 0.97 5.10 4.78
IEI
USD iShares 3-7 Year Treasury Bond 0.36 Mar 01 2024 0.36 -1.38 2.05 3.49 0.50 0.99 4.15 4.47
DBC
USD Invesco DB Commodity Tracking 0.50 Mar 01 2024 0.50 -1.52 -6.21 -2.93 8.11 -0.89 4.00 2.59
GLD
USD SPDR Gold Trust 1.89 Mar 01 2024 1.89 0.46 5.16 11.50 8.83 4.02 5.46 2.92
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77% , 30Y: 2.52%

In 2023, the Ray Dalio All Weather Portfolio granted a 2.60% dividend yield. If you are interested in getting periodic income, please refer to the Ray Dalio All Weather Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 8.37$, with a total return of 737.14% (7.34% annualized).

The Inflation Adjusted Capital now would be 3.97$, with a net total return of 296.56% (4.70% annualized).
An investment of 1$, since January 1871, now would be worth 11648.43$, with a total return of 1164742.85% (6.30% annualized).

The Inflation Adjusted Capital now would be 469.36$, with a net total return of 46836.41% (4.10% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Ray Dalio All Weather Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
RAY DALIO ALL WEATHER PORTFOLIO
Advanced Metrics
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~153Y)
Investment Return (%) 0.44 5.06 4.16 7.84 -0.08 4.93 4.82 6.34 7.34 6.30
Infl. Adjusted Return (%) details 0.44 4.50 2.98 5.00 -5.31 0.79 1.99 3.68 4.70 4.10
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.12
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 (%) -9.24 -20.58 -20.58 -20.58 -20.58 -20.58 -37.02
Start to Recovery (# months) details 5 26* 26* 26* 26* 26* 68
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 1929 09
Start to Bottom (# months) 3 9 9 9 9 9 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 17 17 17 17 17 35
End (yyyy mm) 2023 12 - - - - - 1935 04
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 1929 09
Start to Bottom (# months) 3 9 9 9 9 9 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 17 17 17 17 17 35
End (yyyy mm) 2023 12 - - - - - 1935 04
Longest negative period (# months) details 8 36* 46 46 46 46 84
Period Start (yyyy mm) 2023 03 2021 03 2020 01 2020 01 2020 01 2020 01 1925 07
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2023 10 1932 06
Annualized Return (%) -6.15 -0.08 -0.01 -0.01 -0.01 -0.01 -0.03
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -10.10 -27.84 -27.84 -27.84 -27.84 -27.84 -47.73
Start to Recovery (# months) details 5 30* 30* 30* 30* 30* 124
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2021 09 1916 03
Start to Bottom (# months) 3 26 26 26 26 26 52
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 1920 06
Bottom to End (# months) 2 4 4 4 4 4 72
End (yyyy mm) 2023 12 - - - - - 1926 06
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-6.53
same as
deepest
Start to Recovery (# months) details 32
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2000 09 1916 03
Start to Bottom (# months) 3 26 26 26 26 13 52
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2001 09 1920 06
Bottom to End (# months) 2 4 4 4 4 19 72
End (yyyy mm) 2023 12 - - - - 2003 04 1926 06
Longest negative period (# months) details 8 36* 57 105 105 105 341
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2015 02 2015 02 2015 02 1892 04
Period End (yyyy mm) 2023 10 2024 02 2023 11 2023 10 2023 10 2023 10 1920 08
Annualized Return (%) -8.90 -5.31 -0.09 -0.37 -0.37 -0.37 -0.01
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.39 11.63 10.18 8.27 7.76 7.40 6.55
Sharpe Ratio 0.23 -0.21 0.30 0.44 0.64 0.69 0.35
Sortino Ratio 0.35 -0.30 0.43 0.61 0.86 0.93 0.50
Ulcer Index 3.37 11.72 9.16 6.83 5.16 4.35 4.57
Ratio: Return / Standard Deviation 0.69 -0.01 0.48 0.58 0.82 0.99 0.96
Ratio: Return / Deepest Drawdown 0.85 0.00 0.24 0.23 0.31 0.36 0.17
% Positive Months details 58% 50% 58% 60% 65% 66% 63%
Positive Months 7 18 35 73 156 238 1172
Negative Months 5 18 25 47 84 122 666
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 4.82 8.57 10.28 15.23
Worst 10 Years Return (%) - Annualized 3.99 3.99 1.87
Best 10 Years Return (%) - Annualized 1.99 6.54 7.62 10.91
Worst 10 Years Return (%) - Annualized 1.18 1.18 -4.65
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 27.44 16.35 13.08 10.28 9.32 7.34
Worst Rolling Return (%) - Annualized -19.45 -2.92 3.14 3.99 6.10
% Positive Periods 87% 97% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.60 29.08 20.24 11.62 7.40 7.09
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.35 3.94 5.30
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 24.29 13.42 10.46 7.62 6.92 4.70
Worst Rolling Return (%) - Annualized -25.24 -8.18 -0.86 1.18 3.44
% Positive Periods 82% 93% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.60 29.08 20.24 11.62 7.40 7.09
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.35 3.94 5.30
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1871 - Feb 2024)
Best Rolling Return (%) - Annualized 47.75 24.13 20.99 15.23 12.52 11.60
Worst Rolling Return (%) - Annualized -24.95 -12.66 -3.71 1.87 2.82 3.26
% Positive Periods 82% 96% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.60 25.59 13.95 7.51 4.52 3.49
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 0.46
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 58.22 20.50 17.14 10.91 8.56 7.91
Worst Rolling Return (%) - Annualized -25.24 -14.36 -11.08 -4.65 -1.46 0.32
% Positive Periods 69% 83% 87% 91% 97% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.60 25.59 13.95 7.51 4.52 3.49
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 0.46
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.

Talking about withdrawal rates, how would you manage your early retirement with the Ray Dalio All Weather Portfolio? Read more here

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
-
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
-
-0.29
0.43
DBC
0.47
-0.34
-0.29
-
0.04
GLD
0.24
0.40
0.43
0.04
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.08
0.05
0.42
0.09
TLT
0.08
-
0.85
-0.35
0.42
IEI
0.05
0.85
-
-0.27
0.45
DBC
0.42
-0.35
-0.27
-
0.11
GLD
0.09
0.42
0.45
0.11
-
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
-
-0.04
0.23
DBC
0.33
-0.17
-0.04
-
0.30
GLD
0.06
0.20
0.23
0.30
-
Asset
VTI
TLT
IEI
DBC
GLD
VTI
-
0.08
0.09
0.09
0.02
TLT
0.08
-
0.82
-0.12
0.07
IEI
0.09
0.82
-
-0.04
0.07
DBC
0.09
-0.12
-0.04
-
0.30
GLD
0.02
0.07
0.07
0.30
-

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
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-20.58% Jan 2022 Sep 2022 9 in progress 17 26 13.71
-11.57% Jan 2009 Feb 2009 2 Sep 2009 7 9 6.27
-11.38% Jul 2008 Oct 2008 4 Dec 2008 2 6 5.15
-6.66% Feb 2015 Dec 2015 11 Jun 2016 6 17 4.06
-6.42% Aug 2016 Nov 2016 4 Aug 2017 9 13 3.10
-5.29% May 2013 Jun 2013 2 Jan 2014 7 9 3.01
-4.83% Jul 1998 Aug 1998 2 Oct 1998 2 4 2.27
-4.76% Apr 2004 Apr 2004 1 Sep 2004 5 6 3.09
-4.74% Jun 2003 Jul 2003 2 Sep 2003 2 4 2.46
-4.71% Sep 2018 Oct 2018 2 Mar 2019 5 7 2.74
-4.61% Feb 2001 Mar 2001 2 Aug 2002 17 19 2.73
-4.21% Mar 1994 Nov 1994 9 Feb 1995 3 12 2.78
-3.79% Feb 1999 Feb 1999 1 Apr 1999 2 3 2.07
-3.74% Jan 2021 Mar 2021 3 May 2021 2 5 1.99
-3.68% Aug 2020 Oct 2020 3 Nov 2020 1 4 1.76
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 153 2.4 Months 42.38%
 
DD = 0% 42.38%
 
0% < DD <= -5% 168 2.1 Months 46.54%
 
DD <= -5% 88.92%
 
-5% < DD <= -10% 15 24.1 Months 4.16%
 
DD <= -10% 93.07%
 
-10% < DD <= -15% 18 20.1 Months 4.99%
 
DD <= -15% 98.06%
 
-15% < DD <= -20% 4 90.3 Months 1.11%
 
DD <= -20% 99.17%
 
-20% < DD <= -25% 3 120.3 Months 0.83%
 
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
-27.84% Sep 2021 Oct 2023 26 in progress 4 30 18.35
-12.79% Mar 2008 Oct 2008 8 Dec 2008 2 10 4.93
-12.12% Jan 2009 Feb 2009 2 Nov 2009 9 11 6.31
-7.85% Feb 2015 Dec 2015 11 Jun 2016 6 17 5.04
-7.16% Aug 2016 Nov 2016 4 Nov 2017 12 16 3.66
-6.53% Sep 2000 Sep 2001 13 Apr 2003 19 32 3.93
-6.19% Mar 1994 Nov 1994 9 Mar 1995 4 13 3.83
-5.56% May 2013 Jun 2013 2 Feb 2014 8 10 3.37
-5.34% Feb 2018 Oct 2018 9 Mar 2019 5 14 2.75
-5.18% Jul 1998 Aug 1998 2 Oct 1998 2 4 2.46
-5.16% Jun 2003 Jul 2003 2 Nov 2003 4 6 2.42
-4.91% Apr 2004 Apr 2004 1 Nov 2004 7 8 3.24
-4.79% Jan 2021 Mar 2021 3 Jul 2021 4 7 2.34
-4.45% Sep 2005 Oct 2005 2 Dec 2005 2 4 2.33
-4.36% Aug 2020 Oct 2020 3 Dec 2020 2 5 1.98
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 112 3.2 Months 31.02%
 
DD = 0% 31.02%
 
0% < DD <= -5% 189 1.9 Months 52.35%
 
DD <= -5% 83.38%
 
-5% < DD <= -10% 35 10.3 Months 9.70%
 
DD <= -10% 93.07%
 
-10% < DD <= -15% 4 90.3 Months 1.11%
 
DD <= -15% 94.18%
 
-15% < DD <= -20% 8 45.1 Months 2.22%
 
DD <= -20% 96.40%
 
-20% < DD <= -25% 9 40.1 Months 2.49%
 
DD <= -25% 98.89%
 
-25% < DD <= -30% 4 90.3 Months 1.11%
 
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
-37.02% Sep 1929 May 1932 33 Apr 1935 35 68 17.03
-20.58% Jan 2022 Sep 2022 9 in progress 17 26 13.71
-17.43% Mar 1937 Mar 1938 13 Mar 1940 24 37 7.09
-12.98% Dec 1968 May 1970 18 Dec 1970 7 25 6.73
-12.31% Dec 1980 Sep 1981 10 Aug 1982 11 21 5.41
-11.57% Jan 2009 Feb 2009 2 Sep 2009 7 9 6.27
-11.38% Jul 2008 Oct 2008 4 Dec 2008 2 6 5.15
-11.04% Mar 1974 Sep 1974 7 Jan 1975 4 11 6.00
-10.89% Feb 1980 Mar 1980 2 May 1980 2 4 5.40
-9.55% Oct 1906 Nov 1907 14 Aug 1908 9 23 4.83
-9.31% Dec 1892 Aug 1893 9 Feb 1895 18 27 4.13
-8.82% Oct 1895 Aug 1896 11 Mar 1897 7 18 4.15
-8.78% Sep 1987 Nov 1987 3 Sep 1988 10 13 3.96
-8.57% Nov 1919 Jun 1921 20 Dec 1921 6 26 6.09
-8.25% Dec 1916 Dec 1917 13 Apr 1919 16 29 3.86
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 723 2.5 Months 39.31%
 
DD = 0% 39.31%
 
0% < DD <= -5% 885 2.1 Months 48.12%
 
DD <= -5% 87.44%
 
-5% < DD <= -10% 155 11.9 Months 8.43%
 
DD <= -10% 95.87%
 
-10% < DD <= -15% 43 42.8 Months 2.34%
 
DD <= -15% 98.21%
 
-15% < DD <= -20% 11 167.2 Months 0.60%
 
DD <= -20% 98.80%
 
-20% < DD <= -25% 9 204.3 Months 0.49%
 
DD <= -25% 99.29%
 
-25% < DD <= -30% 6 306.5 Months 0.33%
 
DD <= -30% 99.62%
 
-30% < DD <= -35% 5 367.8 Months 0.27%
 
DD <= -35% 99.89%
 
-35% < DD <= -40% 2 919.5 Months 0.11%
 
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
-47.73% Mar 1916 Jun 1920 52 Jun 1926 72 124 25.75
-27.84% Sep 2021 Oct 2023 26 in progress 4 30 18.35
-27.07% Feb 1946 Feb 1948 25 Nov 1954 81 106 17.05
-20.92% Jul 1980 Sep 1981 15 Oct 1982 13 28 11.89
-20.65% Sep 1968 May 1970 21 Feb 1972 21 42 10.41
-20.47% Sep 1929 May 1932 33 Jan 1933 8 41 9.54
-17.97% Aug 1973 Sep 1974 14 Dec 1976 27 41 7.68
-17.43% Mar 1937 Mar 1938 13 Dec 1939 21 34 7.87
-16.97% Nov 1905 Oct 1907 24 Jan 1909 15 39 7.98
-16.16% Dec 1940 Apr 1942 17 Jan 1945 33 50 8.18
-14.70% Feb 1899 Dec 1899 11 Mar 1901 15 26 9.33
-14.65% Oct 1979 Mar 1980 6 Jun 1980 3 9 6.49
-14.61% Jul 1901 Feb 1904 32 Mar 1905 13 45 8.61
-13.21% Jul 1911 Aug 1914 38 Dec 1915 16 54 7.66
-12.79% Mar 2008 Oct 2008 8 Dec 2008 2 10 4.93
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 436 4.2 Months 23.71%
 
DD = 0% 23.71%
 
0% < DD <= -5% 737 2.5 Months 40.08%
 
DD <= -5% 63.78%
 
-5% < DD <= -10% 317 5.8 Months 17.24%
 
DD <= -10% 81.02%
 
-10% < DD <= -15% 150 12.3 Months 8.16%
 
DD <= -15% 89.18%
 
-15% < DD <= -20% 90 20.4 Months 4.89%
 
DD <= -20% 94.07%
 
-20% < DD <= -25% 46 40.0 Months 2.50%
 
DD <= -25% 96.57%
 
-25% < DD <= -30% 22 83.6 Months 1.20%
 
DD <= -30% 97.77%
 
-30% < DD <= -35% 16 114.9 Months 0.87%
 
DD <= -35% 98.64%
 
-35% < DD <= -40% 10 183.9 Months 0.54%
 
DD <= -40% 99.18%
 
-40% < DD <= -45% 10 183.9 Months 0.54%
 
DD <= -45% 99.73%
 
-45% < DD <= -50% 5 367.8 Months 0.27%
 
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
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 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 -19.45 11/2021
10/2022
0.80$ 0.76 1.00$ 8.73 1.08$ 14.21 1.14$ 27.44 01/1995
12/1995
1.27$ 7.84 12.89%
2Y -10.33 11/2021
10/2023
0.80$ 2.83 1.05$ 7.98 1.16$ 12.78 1.27$ 19.15 12/1994
11/1996
1.41$ -3.59 6.53%
3Y -2.92 11/2020
10/2023
0.91$ 4.49 1.14$ 7.76 1.25$ 11.17 1.37$ 16.35 12/1994
11/1997
1.57$ -0.08 2.77%
5Y 3.14 10/2018
09/2023
1.16$ 5.33 1.29$ 7.62 1.44$ 9.83 1.59$ 13.08 01/1995
12/1999
1.84$ 4.93 0.00%
7Y 3.15 10/2016
09/2023
1.24$ 6.16 1.51$ 7.75 1.68$ 8.65 1.78$ 10.56 12/1994
11/2001
2.01$ 4.80 0.00%
10Y 3.99 11/2013
10/2023
1.47$ 6.65 1.90$ 7.84 2.12$ 9.01 2.36$ 10.28 01/1995
12/2004
2.66$ 4.82 0.00%
15Y 5.58 11/2007
10/2022
2.25$ 6.99 2.75$ 7.79 3.07$ 8.43 3.36$ 9.23 12/1994
11/2009
3.76$ 6.99 0.00%
20Y 6.10 11/2003
10/2023
3.27$ 6.93 3.82$ 7.55 4.28$ 8.37 4.98$ 9.32 02/1995
01/2015
5.94$ 6.34 0.00%
30Y 7.34 03/1994
02/2024
8.37$ 7.34 8.37$ 7.34 8.37$ 7.34 8.37$ 7.34 03/1994
02/2024
8.37$ 7.34 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 -25.24 11/2021
10/2022
0.74$ -1.46 0.98$ 5.61 1.05$ 12.21 1.12$ 24.29 01/1995
12/1995
1.24$ 5.00 17.77%
2Y -14.98 11/2021
10/2023
0.72$ 0.84 1.01$ 5.46 1.11$ 10.07 1.21$ 15.76 12/1994
11/1996
1.34$ -7.59 10.68%
3Y -8.18 11/2020
10/2023
0.77$ 2.40 1.07$ 5.51 1.17$ 8.76 1.28$ 13.42 12/1994
11/1997
1.45$ -5.31 6.15%
5Y -0.86 10/2018
09/2023
0.95$ 3.47 1.18$ 5.18 1.28$ 7.23 1.41$ 10.46 01/1995
12/1999
1.64$ 0.79 1.66%
7Y -0.35 10/2016
09/2023
0.97$ 4.16 1.33$ 5.39 1.44$ 6.37 1.54$ 7.91 12/1994
11/2001
1.70$ 1.29 0.72%
10Y 1.18 11/2013
10/2023
1.12$ 4.30 1.52$ 5.60 1.72$ 6.44 1.86$ 7.62 01/1995
12/2004
2.08$ 1.99 0.00%
15Y 3.12 11/2007
10/2022
1.58$ 4.76 2.00$ 5.52 2.23$ 5.91 2.36$ 6.56 12/1994
11/2009
2.59$ 4.34 0.00%
20Y 3.44 11/2003
10/2023
1.96$ 4.43 2.37$ 5.37 2.84$ 6.00 3.20$ 6.92 02/1995
01/2015
3.81$ 3.68 0.00%
30Y 4.70 03/1994
02/2024
3.96$ 4.70 3.96$ 4.70 3.96$ 4.70 3.96$ 4.70 03/1994
02/2024
3.96$ 4.70 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 -24.95 07/1931
06/1932
0.75$ -0.74 0.99$ 6.26 1.06$ 13.41 1.13$ 47.75 07/1932
06/1933
1.47$ 7.84 17.73%
2Y -18.52 06/1930
05/1932
0.66$ 1.20 1.02$ 6.26 1.12$ 11.84 1.25$ 32.09 07/1984
06/1986
1.74$ -3.59 9.26%
3Y -12.66 07/1929
06/1932
0.66$ 2.55 1.07$ 5.87 1.18$ 10.90 1.36$ 24.13 08/1984
07/1987
1.91$ -0.08 3.61%
5Y -3.71 06/1927
05/1932
0.82$ 3.14 1.16$ 5.92 1.33$ 9.98 1.60$ 20.99 04/1982
03/1987
2.59$ 4.93 1.35%
7Y -0.03 07/1925
06/1932
0.99$ 3.52 1.27$ 5.88 1.49$ 9.62 1.90$ 17.40 08/1982
07/1989
3.07$ 4.80 0.06%
10Y 1.87 09/1886
08/1896
1.20$ 3.88 1.46$ 5.73 1.74$ 9.39 2.45$ 15.23 10/1981
09/1991
4.12$ 4.82 0.00%
15Y 2.25 09/1881
08/1896
1.39$ 4.10 1.82$ 5.61 2.26$ 9.29 3.78$ 13.74 08/1982
07/1997
6.89$ 6.99 0.00%
20Y 2.82 07/1901
06/1921
1.74$ 4.21 2.28$ 5.58 2.96$ 9.83 6.52$ 12.52 04/1980
03/2000
10.57$ 6.34 0.00%
30Y 3.26 06/1902
05/1932
2.61$ 4.49 3.73$ 5.52 5.01$ 9.93 17.12$ 11.60 07/1970
06/2000
26.92$ 7.34 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 -25.24 11/2021
10/2022
0.74$ -4.27 0.95$ 4.41 1.04$ 13.17 1.13$ 58.22 07/1932
06/1933
1.58$ 5.00 30.05%
2Y -16.41 12/1916
11/1918
0.69$ -1.72 0.96$ 4.57 1.09$ 10.13 1.21$ 28.60 07/1984
06/1986
1.65$ -7.59 22.42%
3Y -14.36 02/1917
01/1920
0.62$ -0.28 0.99$ 4.21 1.13$ 9.53 1.31$ 20.50 08/1984
07/1987
1.74$ -5.31 16.31%
5Y -11.08 07/1915
06/1920
0.55$ 0.45 1.02$ 4.26 1.23$ 8.29 1.48$ 17.14 07/1982
06/1987
2.20$ 0.79 12.48%
7Y -7.47 06/1913
05/1920
0.58$ 0.60 1.04$ 4.53 1.36$ 7.80 1.69$ 13.37 08/1982
07/1989
2.40$ 1.29 10.26%
10Y -4.65 12/1910
11/1920
0.62$ 0.96 1.10$ 4.35 1.53$ 7.57 2.07$ 10.91 08/1982
07/1992
2.81$ 1.99 8.44%
15Y -3.18 08/1905
07/1920
0.61$ 1.27 1.20$ 4.02 1.80$ 6.72 2.65$ 10.03 08/1982
07/1997
4.19$ 4.34 4.34%
20Y -1.46 07/1901
06/1921
0.74$ 1.74 1.41$ 3.65 2.04$ 6.44 3.48$ 8.56 10/1981
09/2001
5.17$ 3.68 2.88%
30Y 0.32 08/1890
07/1920
1.09$ 2.01 1.81$ 3.57 2.86$ 5.89 5.56$ 7.91 08/1982
07/2012
9.80$ 4.70 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: Rolling Returns page.

Seasonality

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

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
0.75
40%
-0.95
40%
0.60
40%
0.52
80%
0.08
60%
1.00
80%
2.35
100%
-0.16
40%
-3.32
0%
-0.02
60%
3.35
80%
1.15
80%
Best 5.9
2023
0.4
2024
3.8
2023
4.1
2020
1.2
2020
3.5
2019
4.7
2020
4.2
2019
-0.8
2019
3.7
2021
7.1
2023
5.2
2023
Worst -3.1
2022
-3.9
2023
-1.6
2020
-6.1
2022
-1.8
2023
-3.9
2022
0.4
2019
-3.6
2022
-7.1
2022
-2.5
2023
-0.4
2021
-2.8
2022
Monthly Seasonality over the period Feb 1871 - Feb 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.37
70%
-0.39
50%
0.52
50%
0.43
70%
0.44
70%
0.87
80%
1.42
90%
0.33
50%
-2.09
0%
-0.19
60%
1.63
70%
0.72
70%
Best 5.9
2023
2.2
2016
3.8
2023
4.1
2020
1.8
2018
4.2
2016
4.7
2020
4.2
2019
-0.2
2016
3.7
2021
7.1
2023
5.2
2023
Worst -3.1
2022
-3.9
2023
-1.6
2020
-6.1
2022
-1.8
2023
-3.9
2022
-1.0
2014
-3.6
2022
-7.1
2022
-3.8
2018
-2.9
2016
-2.8
2022
Monthly Seasonality over the period Feb 1871 - 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
0.72
65%
0.35
62%
0.39
64%
0.60
64%
0.39
58%
0.51
63%
0.53
63%
0.65
68%
0.21
60%
0.31
59%
0.86
67%
0.81
72%
Best 7.2
1933
7.1
1986
6.8
1986
11.1
1933
6.0
1933
7.0
1938
8.7
1932
10.3
1932
5.0
1998
8.0
1974
7.2
1981
7.8
2008
Worst -7.8
2009
-5.3
1933
-7.9
1938
-6.1
2022
-7.6
1940
-4.9
1930
-3.9
2003
-3.7
1981
-9.0
1931
-8.3
2008
-3.1
1948
-4.8
1931
Monthly Seasonality over the period Feb 1871 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Ray Dalio All Weather Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

RAY DALIO ALL WEATHER PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
238 Positive Months (66%) - 122 Negative Months (34%)
1172 Positive Months (64%) - 666 Negative Months (36%)
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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.

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

Portfolio efficiency

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

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Gold Pivot Ptf Aim Ways +7.76 8.20 -19.49 22 44 34
In Saecula Saeculorum Fulvio Marchese +7.72 7.83 -20.39 45 45 10
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
Aim comfortable trip Aim Ways +7.42 7.59 -20.15 40 45 15
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15

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

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5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Permanent Portfolio with Bitcoin Harry Browne +7.84 9.32 -16.88 25 50 25
All Weather Portfolio 2x Leveraged Ray Dalio +6.87 21.65 -37.02 37.5 55 7.5
All Weather Portfolio with Bitcoin Ray Dalio +6.81 10.92 -21.81 30 55 15
Simplified Permanent Portfolio 2x Leveraged +6.78 16.94 -31.96 25 50 25
Permanent Portfolio Harry Browne +5.89 8.60 -15.92 25 50 25
Simplified Permanent Portfolio +5.74 8.65 -16.43 25 50 25
All Weather Portfolio Ray Dalio +4.93 10.18 -20.58 30 55 15

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Medium Risk categorization.

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 40/60 Momentum +8.06 7.02 -21.11 40 60 0
Couch Potato Scott Burns +8.04 8.75 -27.04 50 50 0
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Robo Advisor 50 Betterment +7.19 9.28 -30.72 49.9 50.1 0
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
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