Ray Dalio All Weather Portfolio: ETF allocation and returns

Period: January 1871 - September 2024 (~154 years)
Consolidated Returns as of 30 September 2024
Live Update: Oct 03 2024
Rebalancing: at every Jan 1st
Currency: USD
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1.00$
Initial Capital
October 1994
9.48$
Final Capital
September 2024
7.79%
Yearly Return
7.42
Std Deviation
-20.58%
Max Drawdown
33 months
Recovery Period
1.00$
Initial Capital
January 1871
12786.61$
Final Capital
September 2024
6.34%
Yearly Return
6.56
Std Deviation
-37.02%
Max Drawdown
68 months
Recovery Period
Live update: October 2024 (USD)
-0.39%
1 day - Oct 03 2024
-0.41%
Month - October 2024

The Ray Dalio All Weather Portfolio 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 September 2024, in the previous 30 Years, the Ray Dalio All Weather Portfolio obtained a 7.79% compound annual return, with a 7.42% standard deviation. It suffered a maximum drawdown of -20.58% that required 33 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.

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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

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

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
30.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap (USD)
40.00
TLT
USD iShares 20+ Year Treasury Bond Bond, U.S., Long-Term (USD)
15.00
IEI
USD iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term (USD)
7.50
DBC
USD Invesco DB Commodity Tracking Commodity, Broad Diversified (USD)
7.50
GLD
USD SPDR Gold Trust Commodity, Gold (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 Sep 30, 2024

The Ray Dalio All Weather Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: October 2024 return is calculated on the hypothesis of a newly built portfolio, with the original asset allocation.
RAY DALIO ALL WEATHER PORTFOLIO
Time Period: 1 January 1871 - 30 September 2024 (~154 years)
Live Update: Oct 03 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Sep 30, 2024
  1 Day Time ET(*) Oct 2024 YTD
(9M)
1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
Ray Dalio All Weather Portfolio -0.39 -0.41 9.67 2.04 7.21 20.38 4.63 5.41 7.79 6.34
US Inflation Adjusted return 7.79 2.04 6.56 17.76 0.47 2.50 5.15 4.14
Components
VTI
USD Vanguard Total Stock Market -0.21 Oct 03 2024 -1.10 20.58 2.03 9.67 35.24 15.18 12.78 10.68 9.20
TLT
USD iShares 20+ Year Treasury Bond -0.94 Oct 03 2024 -1.07 1.86 2.00 5.77 15.04 -5.06 0.75 5.58 4.80
IEI
USD iShares 3-7 Year Treasury Bond -0.33 Oct 03 2024 -0.24 4.25 1.02 4.93 8.94 0.45 1.48 4.46 4.49
DBC
USD Invesco DB Commodity Tracking 1.44 Oct 03 2024 4.09 1.04 0.72 -3.05 -6.39 9.69 0.41 4.07 2.59
GLD
USD SPDR Gold Trust -0.07 Oct 03 2024 1.00 27.14 5.09 18.15 41.77 11.85 7.66 6.23 3.08
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Aug 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 2.22% , 5Y: 4.14% , 10Y: 2.84% , 30Y: 2.51%

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.

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Capital Growth as of Sep 30, 2024

An investment of 1$, from October 1994 to September 2024, would be worth 9.48$, with a total return of 848.41% (7.79% annualized).

The Inflation Adjusted Capital would be 4.51$, with a net total return of 350.77% (5.15% annualized).

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An investment of 1$, from January 1871 to September 2024, would be worth 12786.61$, with a total return of 1278560.92% (6.34% annualized).

The Inflation Adjusted Capital would be 507.95$, with a net total return of 50695.02% (4.14% annualized).

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Portfolio Metrics as of Sep 30, 2024

Metrics of Ray Dalio All Weather Portfolio, updated as of 30 September 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:
RAY DALIO ALL WEATHER PORTFOLIO
Advanced Metrics
Time Period: 1 January 1871 - 30 September 2024 (~154 years)
Swipe left to see all data
Metrics as of Sep 30, 2024
YTD
(9M)
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~154Y)
Investment Return (%)
9.67 2.04 6.34 7.21 20.38 0.98 4.63 5.41 6.76 7.79 6.34
Growth of 1$ 1.10 1.02 1.06 1.07 1.20 1.03 1.25 1.69 3.70 9.48 12.8K
Infl. Adjusted Return (%)
7.79 2.04 5.97 6.56 17.76 -3.53 0.47 2.50 4.10 5.15 4.14
US Inflation (%) 1.74 0.00 0.34 0.61 2.22 4.67 4.14 2.84 2.55 2.51 2.12
Pending updates, the monthly inflation of Sep 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
Current 1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -1.59 -3.73 -20.58 -20.58 -20.58 -20.58 -20.58 -37.02
Start to Recovery (# months)
33* 3 33* 33* 33* 33* 33* 68
Start (yyyy mm) 2024 04 2022 01 2022 01 2022 01 2022 01 2022 01 1929 09
Start to Bottom (# months) 1 9 9 9 9 9 33
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 24 24 24 24 24 35
End (yyyy mm) 2024 06 - - - - - 1935 04
Longest Drawdown Depth (%) -0.52
same

same

same

same

same

same
Start to Recovery (# months)
3
Start (yyyy mm) 2024 01 2022 01 2022 01 2022 01 2022 01 2022 01 1929 09
Start to Bottom (# months) 1 9 9 9 9 9 33
Bottom (yyyy mm) 2024 01 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 24 24 24 24 24 35
End (yyyy mm) 2024 03 - - - - - 1935 04
Longest negative period (# months)
4 35* 46 46 46 46 84
Start (yyyy mm) 2024 01 2021 11 2020 01 2020 01 2020 01 2020 01 1925 07
End (yyyy mm) 2024 04 2024 09 2023 10 2023 10 2023 10 2023 10 1932 06
Annualized Return (%) -4.48 -0.24 -0.01 -0.01 -0.01 -0.01 -0.03
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -12.75 -4.03 -27.73 -27.85 -27.85 -27.85 -27.85 -47.73
Start to Recovery (# months)
37* 3 35* 37* 37* 37* 37* 124
Start (yyyy mm) 2024 04 2021 11 2021 09 2021 09 2021 09 2021 09 1916 03
Start to Bottom (# months) 1 24 26 26 26 26 52
Bottom (yyyy mm) 2024 04 2023 10 2023 10 2023 10 2023 10 2023 10 1920 06
Bottom to End (# months) 2 11 11 11 11 11 72
End (yyyy mm) 2024 06 - - - - - 1926 06
Longest Drawdown Depth (%) -0.83
same

same

same

same

same

same
Start to Recovery (# months)
3
Start (yyyy mm) 2024 01 2021 11 2021 09 2021 09 2021 09 2021 09 1916 03
Start to Bottom (# months) 2 24 26 26 26 26 52
Bottom (yyyy mm) 2024 02 2023 10 2023 10 2023 10 2023 10 2023 10 1920 06
Bottom to End (# months) 1 11 11 11 11 11 72
End (yyyy mm) 2024 03 - - - - - 1926 06
Longest negative period (# months)
5 36* 58 105 105 105 341
Start (yyyy mm) 2024 01 2021 10 2019 10 2015 02 2015 02 2015 02 1892 04
End (yyyy mm) 2024 05 2024 09 2024 07 2023 10 2023 10 2023 10 1920 08
Annualized Return (%) -0.29 -3.53 -0.24 -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 (%) 9.87 11.80 10.25 8.36 7.77 7.42 6.56
Sharpe Ratio 1.52 -0.21 0.24 0.47 0.68 0.74 0.36
Sortino Ratio 2.10 -0.29 0.33 0.64 0.91 0.99 0.51
Ulcer Index 1.29 12.15 9.50 7.05 5.29 4.44 4.58
Ratio: Return / Standard Deviation 2.06 0.08 0.45 0.65 0.87 1.05 0.97
Ratio: Return / Deepest Drawdown 5.47 0.05 0.22 0.26 0.33 0.38 0.17
Positive Months (%)
75.00 52.77 58.33 61.66 65.41 66.94 63.84
Positive Months 9 19 35 74 157 241 1178
Negative Months 3 17 25 46 83 119 667
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.41 8.49 10.28 15.23
Worst 10 Years Return (%) - Annualized 3.99 3.99 1.87
Best 10 Years Return (%) - Annualized 2.50 6.54 7.62 10.91
Worst 10 Years Return (%) - Annualized 1.18 1.18 -4.65
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· As of Sep 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized 27.44 16.35 13.08 10.28 9.32 7.79
Worst Rolling Return (%) - Annualized -19.45 -2.93 3.13 3.99 6.10
Positive Periods (%) 87.1 95.6 100.0 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 24.29 13.42 10.46 7.62 6.92 5.15
Worst Rolling Return (%) - Annualized -25.24 -8.18 -0.86 1.18 3.44
Positive Periods (%) 82.2 91.6 97.3 100.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
2.87 4.15 4.73 5.19 0.00 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 3.76 5.69 6.91 11.24 3.21 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
4.33 6.68 8.31 16.91 5.98 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 5.26 8.29 10.58 18.92 8.42 0.00 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 85.60 27.59 20.03 11.39 7.40 7.68
Perpetual Withdrawal Rate (%) --- --- --- 1.35 3.93 5.97
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1871 - Sep 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 (%) 82.3 96.1 98.6 100.0 100.0 100.0
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 (%) 70.0 83.3 87.4 91.5 97.1 100.0
95% VaR - Value at Risk (%) - Cumulative
2.58 3.80 4.44 5.14 0.00 0.00 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 3.37 5.16 6.36 9.72 6.37 0.00 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
3.87 6.03 7.60 13.32 13.58 3.15 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 4.69 7.45 9.61 18.11 23.60 8.39 0.00 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 85.60 25.59 13.95 7.51 4.52 3.49
Perpetual Withdrawal Rate (%) --- --- --- --- --- 0.46
% 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.

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

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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 September 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
Drawdown periods
Drawdown periods - Inflation Adjusted
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1871 - 30 September 2024 (~154 years)
Inflation Adjusted:

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Rolling Returns

For a detailed rolling return analysis, click here
Ray Dalio All Weather Portfolio: Rolling Returns

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
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1871 - 30 September 2024 (~154 years)
Inflation Adjusted:

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

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. They are retrieved considering the time period from January 1871 to September 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 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
Time Period: 1 October 1994 - 30 September 2024 (30 Years)
Time Period: 1 January 1871 - 30 September 2024 (~154 years)
241 Positive Months (67%) - 119 Negative Months (33%)
1178 Positive Months (64%) - 667 Negative Months (36%)

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Methodology

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:
  • Vanguard Total Stock Market (VTI), up to December 2001
  • iShares 20+ Year Treasury Bond (TLT), up to December 2002
  • iShares 3-7 Year Treasury Bond (IEI), up to December 2007
  • Invesco DB Commodity Tracking (DBC), up to December 2006
  • 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.

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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
Build wealth
with Lazy Portfolios and Passive Investing