Ray Dalio All Weather vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Period: January 1982 - September 2024 (~43 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Ray Dalio All Weather Portfolio
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
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
October 1994
11.33$
Final Capital
September 2024
8.43%
Yearly Return
7.03
Std Deviation
-21.11%
Max Drawdown
35 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1982
43.66$
Final Capital
September 2024
9.24%
Yearly Return
7.67
Std Deviation
-20.58%
Max Drawdown
33 months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1982
54.73$
Final Capital
September 2024
9.81%
Yearly Return
7.44
Std Deviation
-21.11%
Max Drawdown
35 months
Recovery Period

The Ray Dalio All Weather Portfolio obtained a 7.79% compound annual return, with a 7.42% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.43% compound annual return, with a 7.03% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 September 2024 (~43 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
All Weather Portfolio
Ray Dalio 		9.67 2.04 7.21 20.38 4.63 5.41 7.79 9.24
Stocks/Bonds 40/60 Momentum 14.66 2.05 6.77 24.94 5.31 6.59 8.43 9.81
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Ray Dalio All Weather Portfolio: an investment of 1$, since October 1994, now would be worth 9.48$, with a total return of 848.41% (7.79% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since October 1994, now would be worth 11.33$, with a total return of 1033.08% (8.43% annualized).


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Ray Dalio All Weather Portfolio: an investment of 1$, since January 1982, now would be worth 43.66$, with a total return of 4265.52% (9.24% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 54.73$, with a total return of 5372.93% (9.81% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1982 - 30 September 2024 (~43 years)
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 20.38 24.94
Infl. Adjusted Return (%) 17.76 22.22
DRAWDOWN
Deepest Drawdown Depth (%) -3.73 -3.77
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -0.52 -3.77
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 2
RISK INDICATORS
Standard Deviation (%) 9.87 8.71
Sharpe Ratio 1.52 2.25
Sortino Ratio 2.10 2.87
Ulcer Index 1.29 1.14
Ratio: Return / Standard Deviation 2.06 2.86
Ratio: Return / Deepest Drawdown 5.47 6.62
Metrics calculated over the period 1 October 2023 - 30 September 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 4.63 5.31
Infl. Adjusted Return (%) 0.47 1.13
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.25 10.06
Sharpe Ratio 0.24 0.31
Sortino Ratio 0.33 0.42
Ulcer Index 9.50 10.18
Ratio: Return / Standard Deviation 0.45 0.53
Ratio: Return / Deepest Drawdown 0.22 0.25
Metrics calculated over the period 1 October 2019 - 30 September 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 5.41 6.59
Infl. Adjusted Return (%) 2.50 3.65
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.36 8.02
Sharpe Ratio 0.47 0.64
Sortino Ratio 0.64 0.84
Ulcer Index 7.05 7.31
Ratio: Return / Standard Deviation 0.65 0.82
Ratio: Return / Deepest Drawdown 0.26 0.31
Metrics calculated over the period 1 October 2014 - 30 September 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 7.79 8.43
Infl. Adjusted Return (%) 5.15 5.77
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.42 7.03
Sharpe Ratio 0.74 0.87
Sortino Ratio 0.99 1.14
Ulcer Index 4.44 5.25
Ratio: Return / Standard Deviation 1.05 1.20
Ratio: Return / Deepest Drawdown 0.38 0.40
Metrics calculated over the period 1 October 1994 - 30 September 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 9.24 9.81
Infl. Adjusted Return (%) 6.20 6.76
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 33* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.67 7.44
Sharpe Ratio 0.74 0.84
Sortino Ratio 1.02 1.12
Ulcer Index 3.94 4.69
Ratio: Return / Standard Deviation 1.20 1.32
Ratio: Return / Deepest Drawdown 0.45 0.46
Metrics calculated over the period 1 January 1982 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1982 - 30 September 2024 (~43 years)

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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-20.58 33* Jan 2022
In progress
-20.54 30 Nov 2007
Apr 2010
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-5.89 6 Oct 2018
Mar 2019
-5.29 9 May 2013
Jan 2014
-4.83 4 Jul 1998
Oct 1998
-4.76 6 Apr 2004
Sep 2004
-4.74 4 Jun 2003
Sep 2003
-4.71 7 Sep 2018
Mar 2019

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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-20.58 33* Jan 2022
In progress
-20.54 30 Nov 2007
Apr 2010
-13.77 19 Sep 1987
Mar 1989
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.78 13 Sep 1987
Sep 1988
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-7.10 16 May 1983
Aug 1984
-6.83 14 Feb 1994
Mar 1995
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-6.28 7 Feb 1984
Aug 1984
-5.91 13 Feb 1994
Feb 1995

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1982 - 30 September 2024 (~43 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Year Return Drawdown Return Drawdown
2024
 9.67% -3.73% 14.66% -3.77%
2023
 9.95% -9.25% 6.90% -5.19%
2022
 -18.39% -20.58% -15.17% -19.48%
2021
 8.27% -3.74% 4.23% -2.38%
2020
 15.88% -3.68% 16.57% -7.10%
2019
 17.93% -0.83% 16.20% -0.81%
2018
 -3.02% -4.71% -0.73% -5.89%
2017
 11.55% -0.49% 17.14% 0.00%
2016
 6.50% -6.42% 3.51% -3.61%
2015
 -3.23% -6.66% 3.91% -2.95%
2014
 12.89% -2.52% 9.34% -1.49%
2013
 1.71% -5.29% 12.57% -1.74%
2012
 7.02% -1.33% 7.87% -2.05%
2011
 15.64% -2.00% 7.13% -3.62%
2010
 12.88% -0.69% 10.93% -3.48%
2009
 2.71% -11.57% 9.16% -9.41%
2008
 2.38% -11.38% -12.27% -15.80%
2007
 11.88% -1.20% 11.21% -0.82%
2006
 6.93% -1.71% 6.78% -1.50%
2005
 8.55% -2.99% 9.09% -0.93%
2004
 9.41% -4.76% 9.22% -2.12%
2003
 13.96% -4.74% 12.78% -1.27%
2002
 7.77% -1.56% 0.04% -5.36%
2001
 -2.77% -4.61% -1.88% -6.89%
2000
 10.15% -2.26% 2.99% -3.33%
1999
 6.28% -3.79% 15.71% -1.69%
1998
 11.05% -4.83% 24.65% -4.13%
1997
 13.54% -2.89% 20.41% -2.69%
1996
 8.27% -2.11% 14.08% -1.52%
1995
 27.44% 0.00% 27.84% 0.00%
1994
 -3.28% -6.83% -2.03% -5.91%
1993
 12.02% -1.98% 11.10% -0.87%
1992
 6.76% -2.23% 6.01% -2.11%
1991
 17.98% -1.86% 23.91% -1.79%
1990
 3.85% -5.51% 5.79% -5.29%
1989
 20.45% -1.14% 25.29% -1.01%
1988
 10.59% -1.93% 7.24% -2.95%
1987
 3.47% -8.78% 1.86% -13.77%
1986
 20.56% -3.75% 18.14% -4.37%
1985
 28.68% -2.13% 26.30% -0.74%
1984
 8.03% -6.61% 8.68% -6.28%
1983
 7.06% -3.16% 9.91% -2.81%
1982
 31.65% -3.13% 30.86% -1.48%