Ray Dalio All Weather Portfolio

New York Stock Exchange
USD

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.

31 January 1871  –  26 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
6.27%
Ray Dalio All Weather Portfolio
8.92%
S&P 500 (US Large Cap)
Sharpe Ratio
1.5
Ray Dalio All Weather Portfolio
0.9
S&P 500 (US Large Cap)
Maximum Drawdown
-33.57%
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 $97,249,539 $4,008,471,616
Returns
Month-To-Date 0.78% -0.06%
Year-To-Date 4.68% 23.97%
3M 1.46% 2.57%
6M 5.8% 10.24%
Annual Return (1Y) 6.5% 28.44%
Annual Return (3Y) 14.07% 21.86%
Annual Return (5Y) 9.89% 17.83%
Annual Return (10Y) 7.46% 16.64%
Annual Return (All) 6.27% 8.92%
Enh Ann Return 6.51% 10.57%
Best Year 29.28% 51.57%
Worst Year -16.33% -41.78%
Risk
Annual Volatility 4.02% 9.85%
Max Drawdown -33.57% -81.76%
Sharpe Ratio 1.5 0.9
Sortino Ratio 2.21 1.27
Adjusted Sortino (S/√2) 1.56 0.9
Ulcer Index 0.04 0.17
Gain to Pain Ratio 0.45 0.26

  • 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 January 1871.
  • Final balance: The amount of capital we've accrued over time as of November 2021.
  • 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 151 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.

Chart

Table

Year Ray Dalio All Weather Portfolio S&P 500 (US Large Cap) Won
1871 5.13% 12.4%
1872 5.34% 12.98%
1873 -0.04% -7.08%
1874 8.68% 11.03%
1875 7.4% 3.07%
1876 -0.29% -11.84%
1877 2.47% -1.69%
1878 6.25% 11.94%
1879 17.49% 49.67%
1880 11.18% 23.96%
1881 5.14% 8.62%
1882 2.82% 1.32%
1883 1.49% -2.81%
1884 -1.66% -13.07%
1885 11.45% 27.43%
1886 5.59% 13.19%
1887 0.88% -1.69%
1888 1.78% 1.42%
1889 5.64% 8.01%
1890 -2.87% -9.98%
1891 8.77% 22.77%
1892 4.7% 7.74%
1893 -2.55% -16.06%
1894 2.72% 1.74%
1895 2.77% 5.04%
1896 2.65% 2.14%
1897 8.92% 17.24%
1898 9.47% 24.5%
1899 6.25% 14%
1900 6.15% 13.92%
1901 7.14% 20.52%
1902 2.48% 5.26%
1903 -4.01% -14.44%
1904 11.1% 32.42%
1905 7.23% 19.62%
1906 3.33% 6.72%
1907 -10.14% -29.43%
1908 19.05% 45%
1909 6.95% 19.15%
1910 0.08% -5.26%
1911 2.52% 2.99%
1912 4.11% 8.43%
1913 -1.18% -9.31%
1914 1.89% -3.27%
1915 14.14% 35.76%
1916 3.38% 10.11%
1917 -7.46% -25.96%
1918 10.98% 26.26%
1919 6.76% 20.18%
1920 -5.45% -18.49%
1921 9.05% 13.11%
1922 13.86% 30.56%
1923 5.17% 2.74%
1924 12.71% 26.14%
1925 11.72% 29.15%
1926 7.8% 14%
1927 12.15% 34.53%
1928 13.57% 39.44%
1929 1.37% -4.21%
1930 -3.59% -24.01%
1931 -16.33% -41.78%
1932 6.34% -7.78%
1933 23.01% 51.57%
1934 5.44% -4.44%
1935 16.6% 47.02%
1936 14.51% 35.75%
1937 -9.28% -31.93%
1938 10.21% 23.4%
1939 3.7% 2.24%
1940 -0.27% -10.54%
1941 -2.42% -10.74%
1942 6.6% 17.15%
1943 9.33% 27.01%
1944 8.95% 20.37%
1945 14.01% 37.74%
1946 -2.35% -9.09%
1947 0.33% 4.49%
1948 3.89% 6.87%
1949 5.25% 16.16%
1950 10.28% 32.97%
1951 7.08% 22.25%
1952 6.26% 17.92%
1953 1.72% 0.99%
1954 17.06% 48.06%
1955 8.02% 32.52%
1956 0.67% 8.26%
1957 1.88% -9.66%
1958 8.18% 37.78%
1959 1.84% 13.92%
1960 4.2% 0.96%
1961 11.25% 25.39%
1962 1.13% -7.63%
1963 6.95% 22.19%
1964 7.06% 16.58%
1965 3.77% 12.54%
1966 -1.66% -6.77%
1967 5.43% 17.02%
1968 6.75% 17.06%
1969 -8.57% -11.67%
1970 9.82% 2.69%
1971 13.13% 13.65%
1972 15.07% 21.01%
1973 7.69% -16.26%
1974 5.09% -26.1%
1975 11.07% 38.04%
1976 15.64% 24.33%
1977 -0.11% -11.68%
1978 5.61% 0.77%
1979 24.4% 11.67%
1980 13.35% 28.17%
1981 -5.77% -8.47%
1982 29.28% 19.3%
1983 4.43% 17.15%
1984 6.26% 3.69%
1985 23.73% 22.71%
1986 15.5% 9.31%
1987 0.6% 4.7%
1988 3.41% 16.22%
1989 14.68% 31.37%
1990 2.52% -3.33%
1991 17.28% 30.19%
1992 5.58% 8.21%
1993 13.9% 8.75%
1994 -3.75% 0.4%
1995 26.67% 38.03%
1996 5.75% 22.55%
1997 13.73% 33.48%
1998 15.15% 28.69%
1999 2.36% 20.39%
2000 6.09% -9.73%
2001 -0.39% -11.75%
2002 6.23% -21.59%
2003 11.74% 28.18%
2004 8.04% 10.7%
2005 7.89% 4.83%
2006 8.77% 15.85%
2007 11.72% 5.14%
2008 5.13% -36.81%
2009 1.53% 26.37%
2010 13.79% 15.06%
2011 17.1% 1.89%
2012 6.94% 15.99%
2013 -0.56% 32.31%
2014 15.2% 13.46%
2015 -1.63% 1.25%
2016 5.39% 12%
2017 12.36% 21.7%
2018 -2.06% -4.56%
2019 18.68% 31.22%