10-year Treasury vs Ray Dalio All Weather Portfolio Comparison

Period: January 1871 - August 2024 (~154 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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10-year Treasury Portfolio
1.00$
Initial Capital
September 1994
4.31$
Final Capital
August 2024
4.99%
Yearly Return
6.81
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
September 1994
9.12$
Final Capital
August 2024
7.65%
Yearly Return
7.43
Std Deviation
-20.58%
Max Drawdown
32 months
Recovery Period
10-year Treasury Portfolio
1.00$
Initial Capital
January 1871
918.02$
Final Capital
August 2024
4.54%
Yearly Return
5.46
Std Deviation
-23.19%
Max Drawdown
49 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1871
12530.91$
Final Capital
August 2024
6.33%
Yearly Return
6.56
Std Deviation
-37.02%
Max Drawdown
68 months
Recovery Period

The 10-year Treasury Portfolio obtained a 4.99% compound annual return, with a 6.81% standard deviation, in the last 30 Years.

The Ray Dalio All Weather Portfolio obtained a 7.65% compound annual return, with a 7.43% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 31 August 2024 (~154 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
10-year Treasury 2.74 1.35 4.85 5.89 -1.32 1.16 4.99 4.54
All Weather Portfolio
Ray Dalio 		7.48 1.67 7.57 12.05 4.03 4.93 7.65 6.33
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

10-year Treasury Portfolio: an investment of 1$, since September 1994, now would be worth 4.31$, with a total return of 331.24% (4.99% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since September 1994, now would be worth 9.12$, with a total return of 811.87% (7.65% annualized).


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10-year Treasury Portfolio: an investment of 1$, since January 1871, now would be worth 918.02$, with a total return of 91701.70% (4.54% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1871, now would be worth 12530.91$, with a total return of 1252991.12% (6.33% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)
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10-year Treasury All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 5.89 12.05
Infl. Adjusted Return (%) 3.41 9.42
DRAWDOWN
Deepest Drawdown Depth (%) -5.01 -7.43
Start to Recovery (months) 4 4
Longest Drawdown Depth (%) -4.45 -7.43
Start to Recovery (months) 6 4
Longest Negative Period (months) 8 4
RISK INDICATORS
Standard Deviation (%) 8.66 11.70
Sharpe Ratio 0.06 0.57
Sortino Ratio 0.09 0.78
Ulcer Index 2.34 2.72
Ratio: Return / Standard Deviation 0.68 1.03
Ratio: Return / Deepest Drawdown 1.18 1.62
Metrics calculated over the period 1 September 2023 - 31 August 2024
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10-year Treasury All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) -1.32 4.03
Infl. Adjusted Return (%) -5.24 -0.10
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Negative Period (months) 60* 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.60 10.24
Sharpe Ratio -0.45 0.19
Sortino Ratio -0.66 0.26
Ulcer Index 12.73 9.50
Ratio: Return / Standard Deviation -0.17 0.39
Ratio: Return / Deepest Drawdown -0.06 0.20
Metrics calculated over the period 1 September 2019 - 31 August 2024
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10-year Treasury All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 1.16 4.93
Infl. Adjusted Return (%) -1.61 2.05
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Negative Period (months) 111 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.59 8.40
Sharpe Ratio -0.04 0.41
Sortino Ratio -0.06 0.57
Ulcer Index 9.43 7.06
Ratio: Return / Standard Deviation 0.18 0.59
Ratio: Return / Deepest Drawdown 0.05 0.24
Metrics calculated over the period 1 September 2014 - 31 August 2024
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10-year Treasury All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 4.99 7.65
Infl. Adjusted Return (%) 2.42 5.01
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Drawdown Depth (%) -23.19 -20.58
Start to Recovery (months) 49* 32*
Longest Negative Period (months) 126 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.81 7.43
Sharpe Ratio 0.40 0.72
Sortino Ratio 0.57 0.97
Ulcer Index 6.01 4.44
Ratio: Return / Standard Deviation 0.73 1.03
Ratio: Return / Deepest Drawdown 0.22 0.37
Metrics calculated over the period 1 September 1994 - 31 August 2024
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10-year Treasury All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 0% 30%
Fixed Income 100% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 4.54 6.33
Infl. Adjusted Return (%) 2.37 4.13
DRAWDOWN
Deepest Drawdown Depth (%) -23.19 -37.02
Start to Recovery (months) 49* 68
Longest Drawdown Depth (%) -23.19 -37.02
Start to Recovery (months) 49* 68
Longest Negative Period (months) 126 84
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 5.46 6.56
Sharpe Ratio 0.10 0.36
Sortino Ratio 0.15 0.51
Ulcer Index 3.44 4.58
Ratio: Return / Standard Deviation 0.83 0.97
Ratio: Return / Deepest Drawdown 0.20 0.17
Metrics calculated over the period 1 January 1871 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1871 - 31 August 2024 (~154 years)

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10-year Treasury All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-23.19 49* Aug 2020
In progress
-20.58 32* Jan 2022
In progress
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-9.34 23 Oct 1998
Aug 2000
-7.60 19 May 2013
Nov 2014
-7.18 34 Aug 2016
May 2019
-6.90 10 Feb 1996
Nov 1996
-6.66 17 Feb 2015
Jun 2016
-6.65 18 Jan 2009
Jun 2010
-6.60 9 Nov 2001
Jul 2002
-6.42 13 Aug 2016
Aug 2017
-5.68 7 Jun 2003
Dec 2003
-5.29 9 May 2013
Jan 2014
-4.85 7 Apr 2004
Oct 2004

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10-year Treasury All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-37.02 68 Sep 1929
Apr 1935
-23.19 49* Aug 2020
In progress
-20.58 32* Jan 2022
In progress
-17.43 37 Mar 1937
Mar 1940
-15.76 11 Jul 1979
May 1980
-14.57 17 Jul 1980
Nov 1981
-12.98 25 Dec 1968
Dec 1970
-12.31 21 Dec 1980
Aug 1982
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-11.04 11 Mar 1974
Jan 1975
-10.89 4 Feb 1980
May 1980
-10.87 11 Mar 1987
Jan 1988
-10.14 19 Nov 1993
May 1995
-9.55 23 Oct 1906
Aug 1908