αlphacubator

Ray Dalio All Weather Portfolio

New York Stock Exchange
USD
Track

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.

1 February 1871  –  25 September 2023
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
0%
Ray Dalio All Weather Portfolio
8.79%
S&P 500 (US Large Cap)
Sharpe Ratio
0.58
Ray Dalio All Weather Portfolio
0.86
S&P 500 (US Large Cap)
Maximum Drawdown
-99.99%
Ray Dalio All Weather Portfolio
-81.76%
S&P 500 (US Large Cap)

Metrics

Metric Ray Dalio All Weather Portfolio S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $10,000 $3,886,960,531
Returns   [View more details]
Month-To-Date 0% -3.68%
Year-To-Date -99.99% 14.28%
3M 0% 0.13%
6M -99.99% 10.01%
Annual Return (3Y) -95.26% 11.79%
Annual Return (5Y) -82.98% 10.07%
Annual Return (All) 0% 8.79%
Risk   [View more details]
Annual Volatility 9.05% 10.21%
Max Drawdown -99.99% -81.76%
Sharpe Ratio 0.58 0.86
Sortino Ratio 0.62 1.21
Adjusted Sortino (S/√2) 0.44 0.86

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on February 1871.
  • Final balance: The amount of capital we've accrued over time as of September 2023.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 153 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Ray Dalio All Weather Portfolio -99.99% -95.26% -82.98% -57.51% -32.16% 0%
S&P 500 (US Large Cap) 19.38% 11.79% 10.07% 11.82% 9.62% 8.79%

Annual Returns

Year Ray Dalio All Weather Portfolio S&P 500 (US Large Cap) Won
1871 6.05% 11.69%
1872 5.68% 13.61%
1873 -0.03% -7.09%
1874 8.68% 10.98%
1875 7.38% 3.09%
1876 0.66% -11.87%
1877 1.52% -1.66%
1878 6.28% 11.92%
1879 17.46% 49.69%
1880 11.19% 23.97%
1881 5.59% 7.89%
1882 2.97% 2.51%
1883 0.92% -3.25%
1884 -1.67% -13.08%
1885 11.46% 27.44%
1886 5.59% 13.19%
1887 -1.04% -2.46%
1888 3.77% 2.21%
1889 5.63% 8%
1890 -2.87% -9.97%
1891 8.76% 22.79%
1892 3.92% 6.19%
1893 -3.46% -15.38%
1894 4.39% 2.37%
1895 2.78% 5.04%
1896 2.65% 2.14%
1897 8.92% 17.23%
1898 10.02% 23.16%
1899 4.32% 10.83%
1900 7.57% 18.48%
1901 7.15% 20.52%
1902 2.47% 5.26%
1903 -3.99% -14.44%
1904 12.25% 31.55%
1905 7.01% 19.7%
1906 2.36% 7.35%
1907 -10.14% -29.43%
1908 19.06% 44.99%
1909 6.95% 19.15%
1910 -0.94% -7.63%
1911 3.89% 5.74%
1912 3.84% 8.31%
1913 -1.18% -9.31%
1914 1.89% -3.28%
1915 14.13% 35.76%
1916 5.91% 9.25%
1917 -9.94% -25.38%
1918 11% 26.26%
1919 6.76% 20.18%
1920 -5.45% -18.49%
1921 13.29% 15.03%
1922 11.53% 27.41%
1923 3.33% 3.52%
1924 12.72% 26.13%
1925 11.72% 29.15%
1926 7.81% 14%
1927 14.95% 35.68%
1928 10.86% 38.25%
1929 1.36% -4.21%
1930 -3.59% -24.01%
1931 -16.34% -41.78%
1932 5.04% -10.96%
1933 19.32% 54.1%
1934 11.6% -2.66%
1935 16.6% 47.02%
1936 14.51% 35.75%
1937 -9.25% -31.93%
1938 9.51% 22.59%
1939 2.93% 2.06%
1940 1.12% -9.78%
1941 -2.42% -10.74%
1942 6.58% 17.15%
1943 9.33% 27.01%
1944 7.42% 19.82%
1945 15.59% 38.37%
1946 -2.36% -9.09%
1947 0.33% 4.49%
1948 3.89% 6.87%
1949 8.33% 16.35%
1950 7.95% 27.98%
1951 6.39% 26.82%
1952 6.27% 17.92%
1953 1.72% 0.99%
1954 17.05% 48.06%
1955 9.51% 34.9%
1956 -0.67% 6.35%
1957 1.88% -9.66%
1958 8.19% 37.78%
1959 1.84% 13.92%
1960 7.74% -0.52%
1961 8.97% 30.11%
1962 0.46% -9.65%
1963 6.95% 22.19%
1964 7.06% 16.58%
1965 3.77% 12.54%
1966 -0.2% -8.35%
1967 3.08% 20.73%
1968 8.05% 15.43%
1969 -8.57% -11.67%
1970 9.82% 2.69%
1971 13.08% 13.65%
1972 16.08% 21.7%
1973 7.48% -16.74%
1974 5.09% -26.1%
1975 11.12% 38.04%
1976 15.69% 24.33%
1977 -0.11% -11.68%
1978 5.4% 0.77%
1979 25.5% 11.67%
1980 12.52% 28.17%
1981 -5.75% -8.47%
1982 29.31% 19.3%
1983 4.26% 17.15%
1984 6.4% 3.69%
1985 23.73% 22.71%
1986 15.37% 9.31%
1987 0.62% 4.7%
1988 3.29% 16.22%
1989 14.91% 31.37%
1990 2.45% -3.33%
1991 17.23% 30.19%
1992 5.61% 8.21%
1993 13.87% 8.81%
1994 -3.73% 0.4%
1995 26.65% 38.05%
1996 5.75% 22.5%
1997 13.72% 33.48%
1998 15.16% 28.69%
1999 2.42% 20.39%
2000 6.04% -9.74%
2001 -0.38% -11.76%
2002 6.22% -21.58%
2003 11.74% 28.18%
2004 8.04% 10.7%
2005 7.89% 4.83%
2006 8.77% 15.85%
2007 11.73% 5.15%
2008 5.14% -36.8%
2009 1.52% 26.35%
2010 13.78% 15.06%
2011 17.12% 1.89%
2012 6.85% 15.99%
2013 -0.56% 32.31%
2014 15.2% 13.46%
2015 -1.63% 1.23%
2016 5.39% 12%
2017 12.36% 21.71%
2018 -2.06% -4.57%
2019 18.68% 31.22%
2020 17.57% 18.33%
2021 5.91% 28.73%
2022 -19.55% -18.18%
2023 -99.99% 14.28%

Ray Dalio All Weather Portfolio had 125 positive years and 28 negative years. That's a positive ratio of 82%.

S&P 500 (US Large Cap) had 113 positive years and 40 negative years. That's a positive ratio of 74%.

Ray Dalio All Weather Portfolio had a better yearly return 38% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1871 - 0.8% 1.1% 1% 1.5% -0.1% -0.1% 0.5% 0.8% -1.2% 0.5% 1% 6.1%
1872 1.3% 0.4% 1.1% 1.3% 0.1% 0.1% 0.1% -0.1% -0.4% 0.4% 0.1% 1.2% 5.7%
1873 0.6% 0.4% 0.2% -0.1% 0.4% -0.1% 0.2% 0.4% -1.9% -2.2% -0.7% 2.8% -0%
1874 2.1% 1.7% 0.3% -0.3% -0.1% 0.4% 0.4% 0.9% 0.9% 0.7% 0.9% 0.4% 8.7%
1875 0.5% 0.7% 1.1% 1.2% -0.6% 0.3% 0.7% 0.8% 0.5% 0.1% 1.2% 0.7% 7.4%
1876 1% 1% 0.6% -0.7% -0.6% 0.3% 0.1% -0.7% -1.2% 0.3% 0.1% 0.3% 0.7%
1877 0.2% -1.4% -1.1% -1.7% 0.2% -1.4% 1.5% 2% 2.1% 1.1% -0.1% 0.2% 1.5%
1878 0.2% -0.3% 0.9% 1.3% 0.5% 0.9% 1% 0.2% 1% -0% 0.2% 0.2% 6.3%
1879 1.4% 1.6% -0.2% 1.3% 1.9% 0.5% 1.1% 0.4% 1.7% 4.2% 2% 0.5% 17.5%
1880 1.5% 0.9% 1.1% -0.3% -2% 0.6% 1.6% 1.7% 0.3% 1.3% 2.1% 1.8% 11.2%
1881 2.2% 0.2% 0.7% 0.3% 1.8% 0.8% -0.7% -0.4% 0.6% -0.1% 0.6% -0.5% 5.6%
1882 -0.2% -0.3% 0.2% 0.4% -0% 0.2% 1.9% 1.2% 0.6% -0.5% -1% 0.5%