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Ray Dalio All Weather Portfolio

Last updated Nov 30, 2022

The All-Weather Portfolio is a lazy portfolio created by Ray Dalio, Bridgewater's hedge fund manager, and founder. As the name suggests, the All-Weather Portfolio is designed to perform well in all types of market conditions, such as inflation, deflation, economic growth, or decline.

Expense Ratio

Rank 45 of 54

0.19%
0.00%0.94%
Dividend Yield

Rank 40 of 54

1.71%
0.00%4.60%
10Y Annualized Return

Rank 49 of 54

5.21%
3.45%54.48%
Sharpe Ratio

Rank 53 of 54

-1.20
-1.210.45
Maximum Drawdown

Rank 10 of 54

-25.47%
-91.88%-19.55%

Ray Dalio All Weather PortfolioAsset Allocation


Ray Dalio All Weather PortfolioPerformance

The chart shows the growth of $10,000 invested in Ray Dalio All Weather Portfolio in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $22,777 for a total return of roughly 127.77%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovember
-8.18%
-5.25%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Ray Dalio All Weather PortfolioReturns

As of Nov 30, 2022, the Ray Dalio All Weather Portfolio returned -19.57% Year-To-Date and 5.21% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark1.45%-4.82%-16.96%-13.86%8.56%10.84%
Ray Dalio All Weather Portfolio3.35%-8.80%-18.35%-17.76%4.17%4.58%
VTI
Vanguard Total Stock Market ETF
1.37%-4.07%-17.07%-14.85%9.77%12.57%
DBC
Invesco DB Commodity Index Tracking Fund
-1.46%-14.03%19.97%24.46%9.62%-0.90%
GLD
SPDR Gold Trust
6.25%-5.85%-4.81%-2.47%5.93%-0.20%
IEF
iShares 7-10 Year Treasury Bond ETF
2.22%-6.38%-14.64%-14.77%-0.22%0.55%
TLT
iShares 20+ Year Treasury Bond ETF
5.61%-13.28%-29.90%-30.83%-2.08%0.34%

Ray Dalio All Weather PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Ray Dalio All Weather Portfolio Sharpe ratio is -1.20. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-2.00-1.50-1.00-0.500.00JulyAugustSeptemberOctoberNovember
-1.36
-0.63
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Ray Dalio All Weather PortfolioDividends

Ray Dalio All Weather Portfolio granted a 1.71% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

1.71%1.10%1.22%1.95%2.24%1.92%2.11%2.20%2.23%2.52%2.43%2.87%3.51%

Ray Dalio All Weather PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2022FebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovember
-19.11%
-17.49%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components

Ray Dalio All Weather PortfolioWorst Drawdowns

The table below shows the maximum drawdowns of the Ray Dalio All Weather Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Ray Dalio All Weather Portfolio is 24.28%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.28%Nov 10, 2021238Oct 20, 2022
-13.99%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-8.23%Feb 3, 2015237Jan 11, 201684May 11, 2016321
-7.37%May 3, 201337Jun 25, 2013170Feb 27, 2014207
-7.29%Jul 11, 2016102Dec 1, 2016168Aug 3, 2017270
-5.7%Aug 28, 201882Dec 24, 201833Feb 12, 2019115
-5.3%Jan 29, 20189Feb 8, 2018137Aug 24, 2018146
-5.16%Sep 3, 202041Oct 30, 202031Dec 15, 202072
-5.02%Feb 11, 202125Mar 18, 202135May 7, 202160
-3.83%Nov 5, 20109Nov 17, 201068Feb 25, 201177

Ray Dalio All Weather PortfolioVolatility Chart

Current Ray Dalio All Weather Portfolio volatility is 16.23%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


10.00%15.00%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovember
10.75%
13.39%
Ray Dalio All Weather Portfolio
Benchmark (^GSPC)
Portfolio components