Ray Dalio All Weather Portfolio: ETF allocation and returns

Data Source: from January 1871 to April 2024 (~153 years)
Consolidated Returns as of 30 April 2024
Live Update: May 03 2024, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.82%
1 Day
May 03 2024, 04:00PM Eastern Time
1.59%
Current Month
May 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 7.42% compound annual return, with a 7.42% 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
(%)		 Investment Themes (Orig.Currency) ETF
Ticker		 ETF
Currency		 ETF Name
30.00 Equity, U.S., Large Cap (USD)
VTI
USD Vanguard Total Stock Market
40.00 Bond, U.S., Long-Term (USD)
TLT
USD iShares 20+ Year Treasury Bond
15.00 Bond, U.S., Intermediate-Term (USD)
IEI
USD iShares 3-7 Year Treasury Bond
7.50 Commodity, Broad Diversified (USD)
DBC
USD Invesco DB Commodity Tracking
7.50 Commodity, Gold (USD)
GLD
USD SPDR Gold Trust

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 Apr 30, 2024

The Ray Dalio All Weather Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: May 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 30 April 2024
Live Update: May 03 2024, 04:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~153Y)
Ray Dalio All Weather Portfolio 0.82 1.59 -3.72 10.78 1.73 3.95 4.53 7.42 6.29
US Inflation Adjusted return -3.72 9.11 -1.26 -0.16 1.67 4.76 4.08
Components
VTI
USD Vanguard Total Stock Market 1.19 04:00PM, May 03 2024 1.98 -4.34 20.73 21.94 12.27 11.72 10.29 9.12
TLT
USD iShares 20+ Year Treasury Bond 1.01 04:00PM, May 03 2024 2.19 -6.45 7.60 -14.07 -4.43 0.10 5.08 4.73
IEI
USD iShares 3-7 Year Treasury Bond 0.37 04:00PM, May 03 2024 1.03 -1.73 2.58 -1.38 -0.07 0.88 4.23 4.46
DBC
USD Invesco DB Commodity Tracking 0.13 04:00PM, May 03 2024 -0.99 1.61 -0.13 3.90 9.23 -0.41 4.16 2.63
GLD
USD SPDR Gold Trust -0.08 04:00PM, May 03 2024 0.51 2.99 15.09 14.65 11.82 5.48 5.91 2.99
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Mar 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 3.04% , 5Y: 4.11% , 10Y: 2.82% , 30Y: 2.54%
Live update: World Markets and Indexes

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 Apr 30, 2024

An investment of 1$, since May 1994, now would be worth 8.55$, with a total return of 754.99% (7.42% annualized).

The Inflation Adjusted Capital now would be 4.03$, with a net total return of 303.08% (4.76% annualized).
An investment of 1$, since January 1871, now would be worth 11469.11$, with a total return of 1146811.15% (6.29% annualized).

The Inflation Adjusted Capital now would be 458.37$, with a net total return of 45737.18% (4.08% annualized).
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Portfolio Metrics as of Apr 30, 2024

Metrics of Ray Dalio All Weather Portfolio, updated as of 30 April 2024.

Metrics are calculated based on monthly returns, assuming:
RAY DALIO ALL WEATHER PORTFOLIO
Advanced Metrics
Data Source: 1 January 1871 - 30 April 2024 (~153 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~153Y)
Investment Return (%) -3.72 -1.11 10.78 1.73 -1.40 3.95 4.53 6.45 7.42 6.29
Infl. Adjusted Return (%) details -3.72 -1.91 9.11 -1.26 -6.44 -0.16 1.67 3.76 4.76 4.08
US Inflation (%) 0.00 0.82 1.53 3.04 5.39 4.11 2.82 2.59 2.54 2.12
Pending updates, the monthly inflation after Mar 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 28* 28* 28* 28* 28* 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 19 19 19 19 19 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 19 19 19 19 19 35
End (yyyy mm) 2023 12 - - - - - 1935 04
Longest negative period (# months) details 7 36* 46 46 46 46 84
Period Start (yyyy mm) 2023 05 2021 05 2020 01 2020 01 2020 01 2020 01 1925 07
Period End (yyyy mm) 2023 11 2024 04 2023 10 2023 10 2023 10 2023 10 1932 06
Annualized Return (%) -2.82 -1.40 -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 32* 32* 32* 32* 32* 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 6 6 6 6 6 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
same as
deepest
same as
deepest
Start to Recovery (# months) details
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 6 6 6 6 6 72
End (yyyy mm) 2023 12 - - - - - 1926 06
Longest negative period (# months) details 12* 36* 60* 105 105 105 341
Period Start (yyyy mm) 2023 05 2021 05 2019 05 2015 02 2015 02 2015 02 1892 04
Period End (yyyy mm) 2024 04 2024 04 2024 04 2023 10 2023 10 2023 10 1920 08
Annualized Return (%) -1.26 -6.44 -0.16 -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 (%) 11.80 11.70 10.33 8.39 7.73 7.42 6.56
Sharpe Ratio -0.30 -0.35 0.20 0.39 0.66 0.69 0.35
Sortino Ratio -0.46 -0.49 0.28 0.54 0.88 0.93 0.50
Ulcer Index 3.53 11.95 9.35 6.95 5.22 4.39 4.58
Ratio: Return / Standard Deviation 0.15 -0.12 0.38 0.54 0.83 1.00 0.96
Ratio: Return / Deepest Drawdown 0.19 -0.07 0.19 0.22 0.31 0.36 0.17
% Positive Months details 50% 50% 56% 60% 65% 66% 63%
Positive Months 6 18 34 72 156 239 1173
Negative Months 6 18 26 48 84 121 667
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 4.53 8.57 10.28 15.23
Worst 10 Years Return (%) - Annualized 3.99 3.99 1.87
Best 10 Years Return (%) - Annualized 1.67 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 7.42
Worst Rolling Return (%) - Annualized -19.45 -2.92 3.14 3.99 6.10
% Positive Periods 87% 96% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.60 29.08 20.24 11.62 7.40 7.44
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.35 3.93 5.59
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 4.76
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 7.44
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.35 3.93 5.59
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1871 - Apr 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 30 April 2024
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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 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1871 - 30 April 2024 (~153 years)
Inflation Adjusted:
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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
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1871 - 30 April 2024 (~153 years)
Inflation Adjusted:

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.
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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 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1871 - 30 April 2024 (~153 years)
239 Positive Months (66%) - 121 Negative Months (34%)
1173 Positive Months (64%) - 667 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.

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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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