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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.
A quick overview of the assets within the portfolio, its performance and main metrics.
The portfolio consists of 5 asset classes.
| Name / Ticker | Type | Currency | Inception | Weight |
|---|---|---|---|---|
US Total Stock Market TOTSTOCKMKT.X | Asset Class | USD | Jun 30, 1926 | 30% |
Long Term Treasury LTTREASURY.X | Asset Class | USD | Dec 30, 1870 | 40% |
Intermediate-Term Treasury MTTREASURY.X | Asset Class | USD | Dec 30, 1870 | 15% |
Gold GOLD.X | Asset Class | USD | Dec 30, 1791 | 7.5% |
Commodities COMMODITIES.X | Asset Class | USD | Jan 3, 1984 | 7.5% |
The backtest spans over a period of 41 years. With an annual return of 8.24% for Ray Dalio All Weather Portfolio, the cumulative return over that period amounts to 2447%.
| Portfolio Score | Ray Dalio All Weather Portfolio |
|---|---|
| Portfolio Score |
| Returns | Ray Dalio All Weather Portfolio |
|---|---|
| Month-to-Date | 0.3% |
| Year-to-Date | 7.53% |
| 3M | -0.14% |
| 6M | 4.99% |
| Annualized Return (3Y) | -1.2% |
| Annualized Return (5Y) | 4.07% |
| Annualized Return (10Y) | 4.93% |
| Annualized Return (20Y) | 6.45% |
| Annualized Return (All, 40.9Y) | 8.24% |
| Risk | Ray Dalio All Weather Portfolio |
|---|---|
| Annual Volatility | 6.77% |
| Max Drawdown | -23% |
| Sharpe Ratio | 1.2 |
| Sortino Ratio | 1.75 |
| Adjusted Sortino Ratio | 1.24 |
With a projected annual return (CAGR) of 8.24% and an initial investment of $10,000, Ray Dalio All Weather Portfolio would have the following projected capital growth over the next 50 years.
| Year | Starting Capital | Ending Capital | Total Gain | Avg Monthly Gain | Cumulative Return |
|---|---|---|---|---|---|
| $10,000 | $10,824 | $824 | $69 | 8.2% | |
| 5 | $14,857 | $16,082 | $1,224 | $102 | 60.8% |
| 10 | $22,074 | $23,893 | $1,819 | $152 | 139% |
| 15 | $32,796 | $35,498 | $2,702 | $225 | 255% |
| 20 | $48,725 | $52,740 | $4,015 | $335 | 427% |
| 50 | $524,070 | $567,253 | $43,183 | $3,599 | 5,573% |
A detailed look at the returns of the portfolio.
| Portfolio | All (40.9Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
|---|---|---|---|---|---|---|
| Ray Dalio All Weather Portfolio | 8.24% | 6.45% | 4.93% | 4.07% | -1.2% | 14.07% |
| Year | Ray Dalio All Weather Portfolio |
|---|---|
| 1984 | 7.47% |
| 1985 | 26.18% |
| 1986 | 16.83% |
| 1987 | 1.56% |
| 1988 | 9.6% |
| 1989 | 18.89% |
| 1990 | 2.35% |
| 1991 | 17.65% |
| 1992 | 4.67% |
| 1993 | 11.56% |
| Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
| Ray Dalio All Weather Portfolio | 36 | 5 | 87.80% | 41 | 41 |
Let's analyze how much risk the portfoliohas.
A drawdown represents the period of decline an investor experiences between a portfolio's peak (new high) and its subsequent low, also known as the valley (before it begins to recover). The table below highlights the five largest drawdowns encountered by the portfolio.
| Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Max drawdown | Start | Valley | # Months | End | # Months | # Months | Chart |
| -23% | 2021-11-10 | 2022-10-20 | 11 | 2024-11-20 | 25 | 36 | |
| -14.72% | 2008-05-21 | 2008-11-12 | 6 | 2009-10-07 | 11 | 17 | |
| -13.71% | 2020-03-09 | 2020-03-18 | 0 | 2020-06-10 | 3 | 3 | |
| -9.88% | 1987-08-27 | 1987-11-27 | 3 | 1988-10-10 | 10 | 13 | |
| -8.32% | 2015-02-03 | 2016-01-11 | 11 | 2016-06-02 | 5 | 16 | |
| -8.23% | 1993-10-18 | 1994-05-11 | 7 | 1995-03-27 | 11 | 17 | |
| -8.2% | 2003-06-17 | 2003-08-05 | 2 | 2003-12-05 | 4 | 6 | |
| -7.77% | 2001-02-02 | 2001-09-21 | 8 | 2002-08-26 | 11 | 19 | |
| -7.16% | 2016-07-11 | 2016-12-01 | 5 | 2017-08-03 | 8 | 13 | |
| -7.08% | 2004-03-18 | 2004-05-10 | 2 | 2004-09-21 | 4 | 6 | |
Ray Dalio All Weather Portfolio took approximately 36 months on average to recover from major drawdowns of 20% or more. The largest drawdown reached -23% and the longest drawdown period lasted 36 months.