Rob Arnott vs Ray Dalio All Weather Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Rob Arnott Portfolio
1.00$
Initial Capital
September 1994
7.19$
Final Capital
August 2024
6.80%
Yearly Return
7.23
Std Deviation
-24.27%
Max Drawdown
22 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
Rob Arnott Portfolio
1.00$
Initial Capital
January 1985
23.03$
Final Capital
August 2024
8.23%
Yearly Return
7.17
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1985
28.10$
Final Capital
August 2024
8.77%
Yearly Return
7.51
Std Deviation
-20.58%
Max Drawdown
32 months
Recovery Period

The Rob Arnott Portfolio obtained a 6.80% compound annual return, with a 7.23% 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 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Rob Arnott Portfolio
Rob Arnott 		5.44 1.61 6.19 10.26 3.76 3.93 6.80 8.23
All Weather Portfolio
Ray Dalio 		7.48 1.67 7.57 12.05 4.03 4.93 7.65 8.77
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Rob Arnott Portfolio: an investment of 1$, since September 1994, now would be worth 7.19$, with a total return of 618.95% (6.80% 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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Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 23.03$, with a total return of 2203.19% (8.23% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1985, now would be worth 28.10$, with a total return of 2709.87% (8.77% 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 1985 - 31 August 2024 (~40 years)
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Rob Arnott Portfolio All Weather Portfolio
Author Rob Arnott Ray Dalio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 55%
Commodities 10% 15%
PERFORMANCES
Annualized Return (%) 10.26 12.05
Infl. Adjusted Return (%) 7.67 9.42
DRAWDOWN
Deepest Drawdown Depth (%) -5.54 -7.43
Start to Recovery (months) 3 4
Longest Drawdown Depth (%) -5.54 -7.43
Start to Recovery (months) 3 4
Longest Negative Period (months) 4 4
RISK INDICATORS
Standard Deviation (%) 9.56 11.70
Sharpe Ratio 0.51 0.57
Sortino Ratio 0.73 0.78
Ulcer Index 2.02 2.72
Ratio: Return / Standard Deviation 1.07 1.03
Ratio: Return / Deepest Drawdown 1.85 1.62
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Rob Arnott Portfolio All Weather Portfolio
Author Rob Arnott Ray Dalio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 55%
Commodities 10% 15%
PERFORMANCES
Annualized Return (%) 3.76 4.03
Infl. Adjusted Return (%) -0.36 -0.10
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Negative Period (months) 45 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.77 10.24
Sharpe Ratio 0.17 0.19
Sortino Ratio 0.22 0.26
Ulcer Index 7.63 9.50
Ratio: Return / Standard Deviation 0.39 0.39
Ratio: Return / Deepest Drawdown 0.21 0.20
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Rob Arnott Portfolio All Weather Portfolio
Author Rob Arnott Ray Dalio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 55%
Commodities 10% 15%
PERFORMANCES
Annualized Return (%) 3.93 4.93
Infl. Adjusted Return (%) 1.08 2.05
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Negative Period (months) 45 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.85 8.40
Sharpe Ratio 0.32 0.41
Sortino Ratio 0.42 0.57
Ulcer Index 5.66 7.06
Ratio: Return / Standard Deviation 0.50 0.59
Ratio: Return / Deepest Drawdown 0.22 0.24
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Rob Arnott Portfolio All Weather Portfolio
Author Rob Arnott Ray Dalio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 55%
Commodities 10% 15%
PERFORMANCES
Annualized Return (%) 6.80 7.65
Infl. Adjusted Return (%) 4.18 5.01
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -20.58
Start to Recovery (months) 22 32*
Longest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Negative Period (months) 50 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 7.43
Sharpe Ratio 0.62 0.72
Sortino Ratio 0.81 0.97
Ulcer Index 4.64 4.44
Ratio: Return / Standard Deviation 0.94 1.03
Ratio: Return / Deepest Drawdown 0.28 0.37
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Rob Arnott Portfolio All Weather Portfolio
Author Rob Arnott Ray Dalio
ASSET ALLOCATION
Stocks 30% 30%
Fixed Income 60% 55%
Commodities 10% 15%
PERFORMANCES
Annualized Return (%) 8.23 8.77
Infl. Adjusted Return (%) 5.30 5.83
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -20.58
Start to Recovery (months) 22 32*
Longest Drawdown Depth (%) -17.86 -20.58
Start to Recovery (months) 32* 32*
Longest Negative Period (months) 50 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.17 7.51
Sharpe Ratio 0.71 0.75
Sortino Ratio 0.95 1.03
Ulcer Index 4.18 4.05
Ratio: Return / Standard Deviation 1.15 1.17
Ratio: Return / Deepest Drawdown 0.34 0.43
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Rob Arnott Portfolio All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-20.58 32* Jan 2022
In progress
-17.86 32* Jan 2022
In progress
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.72 6 Feb 2020
Jul 2020
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-6.23 16 Mar 2015
Jun 2016
-5.66 10 May 2013
Feb 2014
-5.29 9 May 2013
Jan 2014
-4.84 6 Sep 2018
Feb 2019
-4.83 4 Jul 1998
Oct 1998
-4.76 6 Apr 2004
Sep 2004
-4.74 4 Jun 2003
Sep 2003

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Rob Arnott Portfolio All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-20.58 32* Jan 2022
In progress
-17.86 32* Jan 2022
In progress
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.78 13 Sep 1987
Sep 1988
-8.72 6 Feb 2020
Jul 2020
-7.37 16 Feb 1994
May 1995
-6.83 14 Feb 1994
Mar 1995
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-6.23 16 Mar 2015
Jun 2016
-6.11 7 Jan 1990
Jul 1990
-5.66 10 May 2013
Feb 2014
-5.51 7 Jan 1990
Jul 1990

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 1985 - 31 August 2024 (~40 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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Rob Arnott Portfolio All Weather Portfolio
Year Return Drawdown Return Drawdown
2024
 5.44% -3.00% 7.48% -3.73%
2023
 9.08% -7.06% 9.95% -9.25%
2022
 -14.81% -17.86% -18.39% -20.58%
2021
 11.04% -1.71% 8.27% -3.74%
2020
 7.98% -8.72% 15.88% -3.68%
2019
 16.67% -0.49% 17.93% -0.83%
2018
 -4.12% -4.84% -3.02% -4.71%
2017
 9.02% -0.37% 11.55% -0.49%
2016
 7.14% -3.86% 6.50% -6.42%
2015
 -3.26% -5.73% -3.23% -6.66%
2014
 7.59% -2.79% 12.89% -2.52%
2013
 1.41% -5.66% 1.71% -5.29%
2012
 10.55% -2.17% 7.02% -1.33%
2011
 7.73% -3.51% 15.64% -2.00%
2010
 11.89% -2.99% 12.88% -0.69%
2009
 14.59% -11.26% 2.71% -11.57%
2008
 -11.48% -21.15% 2.38% -11.38%
2007
 7.64% -1.84% 11.88% -1.20%
2006
 8.97% -1.26% 6.93% -1.71%
2005
 7.74% -2.50% 8.55% -2.99%
2004
 11.93% -4.70% 9.41% -4.76%
2003
 17.00% -2.42% 13.96% -4.74%
2002
 8.16% -0.99% 7.77% -1.56%
2001
 0.06% -2.47% -2.77% -4.61%
2000
 12.87% -0.83% 10.15% -2.26%
1999
 7.22% -2.71% 6.28% -3.79%
1998
 6.53% -4.10% 11.05% -4.83%
1997
 7.20% -2.36% 13.54% -2.89%
1996
 11.02% -0.75% 8.27% -2.11%
1995
 21.23% 0.00% 27.44% 0.00%
1994
 -2.84% -7.37% -3.28% -6.83%
1993
 13.77% -2.73% 12.02% -1.98%
1992
 6.56% -2.87% 6.76% -2.23%
1991
 18.67% -1.99% 17.98% -1.86%
1990
 2.80% -6.11% 3.85% -5.51%
1989
 17.53% -1.16% 20.45% -1.14%
1988
 13.48% -1.21% 10.59% -1.93%
1987
 6.41% -5.21% 3.47% -8.78%
1986
 21.76% -3.06% 20.56% -3.75%
1985
 27.17% -1.73% 28.68% -2.13%