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Portfolio Analysis for Ray Dalio All Weather Portfolio

Jan 3, 1984Jul 5, 2024

The All Weather Portfolio was created by Ray Dalio, a billionaire hedge fund manager.

It is not meant to outperform the market, but rather meant to be used during difficult market conditions, or for investors who are risk-averse. The small drawdowns allow for a peace of mind for the investor, which makes the investor more likely to stick to the strategy.

It is rebalanced only once a year, making it very easy to follow.

The backtesting period is limited by the inception date of Commodities (COMMODITIES.X): Jan 3, 1984.

Overview

A quick overview of the assets within the portfolio, its performance and main metrics.

Assets

The portfolio consists of 5 asset classes.

Name / TickerTypeCurrencyInceptionWeight
US Total Stock Market
TOTSTOCKMKT.X
Asset ClassUSDJun 30, 192630%
Long Term Treasury
LTTREASURY.X
Asset ClassUSDDec 30, 187040%
Intermediate-Term Treasury
MTTREASURY.X
Asset ClassUSDDec 30, 187015%
Gold
GOLD.X
Asset ClassUSDDec 30, 17917.5%
Commodities
COMMODITIES.X
Asset ClassUSDJan 3, 19847.5%
Performance (Jan 3, 1984 - Jul 5, 2024)
Annual Return
8.3%
Sharpe Ratio
1.21
Min Holding Period
3.65years
Worst Downturn
-23%in 2022

Metrics

Portfolio ScoreRay Dalio All Weather Portfolio
Portfolio Score
ReturnsRay Dalio All Weather Portfolio
Month-to-Date1.5%
Year-to-Date4.65%
3M3.14%
6M5.3%
Annualized Return (3Y)-0.71%
Annualized Return (5Y)4.38%
Annualized Return (10Y)4.98%
Annualized Return (20Y)6.66%
Annualized Return (All, 40.5Y)8.3%
RiskRay Dalio All Weather Portfolio
Annual Volatility6.77%
Max Drawdown-23%
Sharpe Ratio1.21
Sortino Ratio1.76
Adjusted Sortino Ratio1.24
Projected Capital Growth

With a projected annual return (CAGR) of 8.3% and an initial investment of $10,000, Ray Dalio All Weather Portfolio would have the following projected capital growth over the next 50 years.

YearStarting CapitalEnding CapitalTotal GainAvg Monthly GainCumulative Return
$10,000$10,830$830$698.3%
5$14,898$16,135$1,237$10361.4%
10$22,197$24,039$1,842$154140%
15$33,069$35,814$2,745$229258%
20$49,268$53,358$4,089$341434%
50$538,794$583,514$44,720$3,7275,735%

Returns

A detailed look at the returns of the portfolio(s).

Annualized Returns
PortfolioAll (40.5Y)20Y10Y5Y3Y1Y
Ray Dalio All Weather Portfolio8.3%6.66%4.98%4.38%-0.71%8.66%
Yearly Returns
YearRay Dalio All Weather Portfolio
19847.47%
198526.16%
198616.85%
19871.54%
19889.6%
198918.9%
19902.38%
199117.62%
19927.2%
199311.57%

Summary

PortfolioPositive YearsNegative YearsPositive RatioBest Return YearsWorst Return Years
Ray Dalio All Weather Portfolio36587.80%4141

Risk

Let's analyze how much risk the portfolio(s) have.

Drawdowns
StartValleyEndDaysMax drawdownChart
2021-11-102022-10-202024-07-05
968
-23%
2008-05-212008-11-122009-10-07
504
-14.72%
2020-03-092020-03-182020-06-10
93
-13.71%
1987-08-271987-11-271988-10-10
410
-9.87%
2015-02-032016-01-112016-06-02
485
-8.32%