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

Last Update: 31 January 2024

The Ray Dalio All Weather Portfolio obtained a 7.22% compound annual return, with a 7.43% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 7.86% compound annual return, with a 7.02% standard deviation, in the last 30 Years.

Summary

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Ray Dalio All Weather Portfolio Stocks/Bonds 40/60 Momentum Portfolio
Portfolio Risk Medium Medium
Asset Allocation Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
30 Years Stats Return +7.22% +7.86%
Std Dev 7.43% 7.02%
Max Drawdown -20.58% -21.11%
All time Stats
(Since Jan 1982)
Return +9.13% +9.68%
Std Dev 7.68% 7.44%
Max Drawdown -20.58% -21.11%
Last Update: 31 January 2024

Historical Returns as of Jan 31, 2024

Comparison period starts from January 1982

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1M 6M 1Y 5Y 10Y 30Y MAX
Ray Dalio All Weather Portfolio -0.52 +1.67 +3.23 +4.99 +5.03 +7.22 +9.13
Stocks/Bonds 40/60 Momentum Portfolio +2.14 +7.20 +7.29 +4.84 +5.98 +7.86 +9.68
Return over 1 year are annualized.

Capital Growth as of Jan 31, 2024

Ray Dalio All Weather Portfolio: an investment of 1$, since February 1994, now would be worth 8.11$, with a total return of 710.65% (7.22% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since February 1994, now would be worth 9.68$, with a total return of 868.21% (7.86% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1982, now would be worth 39.60$, with a total return of 3859.61% (9.13% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 48.75$, with a total return of 4775.17% (9.68% annualized).

Drawdowns

Drawdown comparison chart since February 1994.

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Ray Dalio All Weather Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-21.11% Nov 2021 Sep 2022 (11) In progress (27) 14.72
-20.58% Jan 2022 Sep 2022 (9) In progress (25) 13.82
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-11.57% Jan 2009 Feb 2009 (2) Sep 2009 (9) 6.27
-11.38% Jul 2008 Oct 2008 (4) Dec 2008 (6) 5.15
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.83% Feb 1994 Nov 1994 (10) Mar 1995 (14) 4.86
-6.66% Feb 2015 Dec 2015 (11) Jun 2016 (17) 4.06
-6.42% Aug 2016 Nov 2016 (4) Aug 2017 (13) 3.10
-5.91% Feb 1994 Jun 1994 (5) Feb 1995 (13) 3.86
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.29% May 2013 Jun 2013 (2) Jan 2014 (9) 3.01
-4.83% Jul 1998 Aug 1998 (2) Oct 1998 (4) 2.27
-4.76% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.09
-4.74% Jun 2003 Jul 2003 (2) Sep 2003 (4) 2.46
-4.71% Sep 2018 Oct 2018 (2) Mar 2019 (7) 2.74
-4.61% Feb 2001 Mar 2001 (2) Aug 2002 (19) 2.73
-4.13% Aug 1998 Aug 1998 (1) Oct 1998 (3) 2.07
-3.79% Feb 1999 Feb 1999 (1) Apr 1999 (3) 2.07

Drawdown comparison chart since January 1982.

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Ray Dalio All Weather Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-21.11% Nov 2021 Sep 2022 (11) In progress (27) 14.72
-20.58% Jan 2022 Sep 2022 (9) In progress (25) 13.82
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-13.77% Sep 1987 Nov 1987 (3) Mar 1989 (19) 6.65
-11.57% Jan 2009 Feb 2009 (2) Sep 2009 (9) 6.27
-11.38% Jul 2008 Oct 2008 (4) Dec 2008 (6) 5.15
-8.78% Sep 1987 Nov 1987 (3) Sep 1988 (13) 3.96
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-7.10% May 1983 May 1984 (13) Aug 1984 (16) 3.00
-6.83% Feb 1994 Nov 1994 (10) Mar 1995 (14) 4.86
-6.66% Feb 2015 Dec 2015 (11) Jun 2016 (17) 4.06
-6.42% Aug 2016 Nov 2016 (4) Aug 2017 (13) 3.10
-6.28% Feb 1984 May 1984 (4) Aug 1984 (7) 3.29
-5.91% Feb 1994 Jun 1994 (5) Feb 1995 (13) 3.86
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.51% Jan 1990 Apr 1990 (4) Jul 1990 (7) 2.88
-5.29% May 2013 Jun 2013 (2) Jan 2014 (9) 3.01
-5.29% Aug 1990 Sep 1990 (2) Dec 1990 (5) 3.29
-4.83% Jul 1998 Aug 1998 (2) Oct 1998 (4) 2.27

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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Year Return Drawdown Return Drawdown
2024
-0.52%
-0.52%
+2.14%
0.00%
2023
+9.94%
-9.24%
+6.91%
-5.18%
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%