Harry Browne Permanent vs Ray Dalio All Weather Portfolio Comparison

Period: January 1871 - October 2024 (~154 years)
Consolidated Returns as of 31 October 2024
Rebalancing: at every Jan 1st
Currency: USD
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Harry Browne Permanent Portfolio
1.00$
Initial Capital
November 1994
7.45$
Final Capital
October 2024
6.92%
Yearly Return
6.63
Std Deviation
-15.92%
Max Drawdown
27months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
November 1994
9.27$
Final Capital
October 2024
7.71%
Yearly Return
7.44
Std Deviation
-20.58%
Max Drawdown
34months
Recovery Period
Harry Browne Permanent Portfolio
1.00$
Initial Capital
January 1871
6181.19$
Final Capital
October 2024
5.84%
Yearly Return
5.81
Std Deviation
-30.61%
Max Drawdown
46months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1871
12517.51$
Final Capital
October 2024
6.33%
Yearly Return
6.56
Std Deviation
-37.02%
Max Drawdown
68months
Recovery Period

The Harry Browne Permanent Portfolio obtained a 6.92% compound annual return, with a 6.63% standard deviation, in the last 30 Years.

The Ray Dalio All Weather Portfolio obtained a 7.71% compound annual return, with a 7.44% standard deviation, in the last 30 Years.

Returns as of Oct 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1871 - 31 October 2024 (~154 years)
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Return (%) as of Oct 31, 2024
YTD
(10M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~154Y)
Permanent Portfolio
Harry Browne 		13.24 -0.13 11.07 23.92 6.19 5.92 6.92 5.84
All Weather Portfolio
Ray Dalio 		7.36 -2.10 9.01 20.91 4.07 5.00 7.71 6.33
Return over 1 year are annualized.

Capital Growth as of Oct 31, 2024

Harry Browne Permanent Portfolio: an investment of 1$, since November 1994, now would be worth 7.45$, with a total return of 644.72% (6.92% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since November 1994, now would be worth 9.27$, with a total return of 827.23% (7.71% annualized).


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Harry Browne Permanent Portfolio: an investment of 1$, since January 1871, now would be worth 6181.19$, with a total return of 618018.62% (5.84% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1871, now would be worth 12517.51$, with a total return of 1251651.22% (6.33% annualized).


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Metrics as of Oct 31, 2024

The following metrics, updated as of 31 October 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 November 2023 - 31 October 2024 (1 year)
Period: 1 November 2019 - 31 October 2024 (5 years)
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 November 1994 - 31 October 2024 (30 years)
Period: 1 January 1871 - 31 October 2024 (~154 years)
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Permanent Portfolio All Weather Portfolio
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 30%
Fixed Income 50% 55%
Commodities 25% 15%
PERFORMANCES
Annualized Return (%) 23.92 20.91
Infl. Adjusted Return (%) 20.81 17.87
DRAWDOWN
Deepest Drawdown Depth (%) -1.77 -3.73
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -0.53 -0.52
Start to Recovery (months) 2 3
Longest Negative Period (months) 1 4
RISK INDICATORS
Standard Deviation (%) 6.64 9.70
Sharpe Ratio 2.80 1.61
Sortino Ratio 3.86 2.23
Ulcer Index 0.51 1.22
Ratio: Return / Standard Deviation 3.61 2.16
Ratio: Return / Deepest Drawdown 13.53 5.61
Metrics calculated over the period 1 November 2023 - 31 October 2024
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Permanent Portfolio All Weather Portfolio
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 30%
Fixed Income 50% 55%
Commodities 25% 15%
PERFORMANCES
Annualized Return (%) 6.19 4.07
Infl. Adjusted Return (%) 1.93 -0.10
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Negative Period (months) 40 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.59 10.31
Sharpe Ratio 0.46 0.18
Sortino Ratio 0.65 0.25
Ulcer Index 5.90 9.51
Ratio: Return / Standard Deviation 0.72 0.39
Ratio: Return / Deepest Drawdown 0.39 0.20
Metrics calculated over the period 1 November 2019 - 31 October 2024
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Permanent Portfolio All Weather Portfolio
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 30%
Fixed Income 50% 55%
Commodities 25% 15%
PERFORMANCES
Annualized Return (%) 5.92 5.00
Infl. Adjusted Return (%) 2.95 2.06
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Negative Period (months) 40 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.31 8.39
Sharpe Ratio 0.60 0.41
Sortino Ratio 0.86 0.57
Ulcer Index 4.69 7.06
Ratio: Return / Standard Deviation 0.81 0.60
Ratio: Return / Deepest Drawdown 0.37 0.24
Metrics calculated over the period 1 November 2014 - 31 October 2024
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Permanent Portfolio All Weather Portfolio
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 30%
Fixed Income 50% 55%
Commodities 25% 15%
PERFORMANCES
Annualized Return (%) 6.92 7.71
Infl. Adjusted Return (%) 4.29 5.06
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Drawdown Depth (%) -15.92 -20.58
Start to Recovery (months) 27 34*
Longest Negative Period (months) 40 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.63 7.44
Sharpe Ratio 0.70 0.73
Sortino Ratio 0.97 0.98
Ulcer Index 3.20 4.44
Ratio: Return / Standard Deviation 1.04 1.04
Ratio: Return / Deepest Drawdown 0.43 0.37
Metrics calculated over the period 1 November 1994 - 31 October 2024
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Permanent Portfolio All Weather Portfolio
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 30%
Fixed Income 50% 55%
Commodities 25% 15%
PERFORMANCES
Annualized Return (%) 5.84 6.33
Infl. Adjusted Return (%) 3.64 4.12
DRAWDOWN
Deepest Drawdown Depth (%) -30.61 -37.02
Start to Recovery (months) 46 68
Longest Drawdown Depth (%) -14.17 -37.02
Start to Recovery (months) 53 68
Longest Negative Period (months) 80 84
RISK INDICATORS
Standard Deviation (%) 5.81 6.56
Sharpe Ratio 0.32 0.35
Sortino Ratio 0.47 0.50
Ulcer Index 3.53 4.58
Ratio: Return / Standard Deviation 1.00 0.96
Ratio: Return / Deepest Drawdown 0.19 0.17
Metrics calculated over the period 1 January 1871 - 31 October 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 November 1994 - 31 October 2024 (30 years)
Period: 1 January 1871 - 31 October 2024 (~154 years)

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Permanent Portfolio All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-20.58 34* Jan 2022
In progress
-15.92 27 Jan 2022
Mar 2024
-12.63 18 Mar 2008
Aug 2009
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-6.98 13 Aug 2016
Aug 2017
-6.86 17 Oct 2012
Feb 2014
-6.73 15 Feb 2015
Apr 2016
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-5.43 19 Sep 2000
Mar 2002
-5.34 4 Jul 1998
Oct 1998
-5.29 9 May 2013
Jan 2014
-4.83 4 Jul 1998
Oct 1998
-4.76 6 Apr 2004
Sep 2004

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Permanent Portfolio All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-37.02 68 Sep 1929
Apr 1935
-30.61 46 Sep 1929
Jun 1933
-20.58 34* Jan 2022
In progress
-17.43 37 Mar 1937
Mar 1940
-15.92 27 Jan 2022
Mar 2024
-14.17 53 Mar 1937
Jul 1941
-12.98 25 Dec 1968
Dec 1970
-12.63 18 Mar 2008
Aug 2009
-12.31 21 Dec 1980
Aug 1982
-11.68 21 Dec 1980
Aug 1982
-11.57 9 Jan 2009
Sep 2009
-11.38 5 Feb 1980
Jun 1980
-11.38 6 Jul 2008
Dec 2008
-11.15 10 Apr 1974
Jan 1975
-11.04 11 Mar 1974
Jan 1975

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1871 - 31 October 2024 (~154 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Permanent Portfolio All Weather Portfolio
Year Return Drawdown Return Drawdown
2024
 13.24% -1.77% 7.36% -3.73%
2023
 11.55% -5.68% 9.95% -9.25%
2022
 -12.53% -15.92% -18.39% -20.58%
2021
 4.21% -4.43% 8.27% -3.74%
2020
 16.10% -3.30% 15.88% -3.68%
2019
 16.17% -1.10% 17.93% -0.83%
2018
 -1.76% -4.25% -3.02% -4.71%
2017
 10.97% -0.83% 11.55% -0.49%
2016
 5.54% -6.98% 6.50% -6.42%
2015
 -3.06% -6.73% -3.23% -6.66%
2014
 9.40% -2.62% 12.89% -2.52%
2013
 -2.08% -6.04% 1.71% -5.29%
2012
 6.41% -1.83% 7.02% -1.33%
2011
 11.11% -1.85% 15.64% -2.00%
2010
 13.92% -0.53% 12.88% -0.69%
2009
 7.85% -6.22% 2.71% -11.57%
2008
 0.87% -12.63% 2.38% -11.38%
2007
 12.69% -1.20% 11.88% -1.20%
2006
 10.94% -2.12% 6.93% -1.71%
2005
 8.91% -1.25% 8.55% -2.99%
2004
 6.83% -4.20% 9.41% -4.76%
2003
 13.32% -2.34% 13.96% -4.74%
2002
 5.85% -4.02% 7.77% -1.56%
2001
 -0.52% -4.13% -2.77% -4.61%
2000
 2.40% -3.23% 10.15% -2.26%
1999
 5.17% -3.54% 6.28% -3.79%
1998
 10.09% -5.34% 11.05% -4.83%
1997
 7.19% -2.33% 13.54% -2.89%
1996
 5.08% -2.02% 8.27% -2.11%
1995
 18.11% 0.00% 27.44% 0.00%
1994
 -1.37% -3.63% -3.28% -6.83%
1993
 12.00% -0.99% 12.02% -1.98%
1992
 3.57% -1.77% 6.76% -2.23%
1991
 11.72% -0.88% 17.98% -1.86%
1990
 1.11% -4.53% 3.85% -5.51%
1989
 12.90% -1.18% 20.45% -1.14%
1988
 4.39% -1.50% 10.59% -1.93%
1987
 7.42% -5.78% 3.47% -8.78%
1986
 17.64% -1.28% 20.56% -3.75%
1985
 20.47% -2.05% 28.68% -2.13%
1984
 2.22% -3.58% 8.03% -6.61%
1983
 3.46% -2.83% 7.06% -3.16%
1982
 23.27% -5.51% 31.65% -3.13%
1981
 -5.34% -9.88% -3.74% -11.76%
1980
 13.65% -11.38% 10.35% -10.89%
1979
 39.77% -4.50% 19.26% -6.57%
1978
 12.78% -5.31% 7.24% -3.43%
1977
 6.43% -2.00% 2.14% -2.83%
1976
 11.22% -2.75% 15.78% -1.12%
1975
 6.98% -7.00% 12.93% -5.16%
1974
 12.43% -11.15% 1.78% -11.04%
1973
 15.65% -6.85% 6.67% -2.66%
1972
 18.84% -1.56% 14.50% 0.00%
1971
 12.86% -1.09% 14.60% -3.81%
1970
 7.89% -4.68% 10.73% -7.59%
1969
 -6.38% -8.20% -7.07% -8.33%
1968
 9.27% -1.10% 5.61% -2.31%
1967
 6.11% -1.37% 4.93% -2.43%
1966
 -0.04% -3.86% -0.21% -6.05%
1965
 4.59% -0.95% 4.08% -1.14%
1964
 6.00% -0.25% 7.34% -0.33%
1963
 6.05% -0.74% 6.73% -1.03%
1962
 -0.23% -4.93% 0.34% -6.12%
1961
 6.50% -1.00% 7.57% -1.53%
1960
 5.64% -1.14% 8.59% -1.47%
1959
 2.72% -1.85% 1.91% -2.83%
1958
 9.97% -0.31% 9.85% -0.95%
1957
 0.57% -2.86% 1.56% -3.70%
1956
 1.35% -2.43% 0.45% -3.72%
1955
 6.24% -0.67% 6.44% -0.66%
1954
 14.12% -0.94% 17.99% -1.18%
1953
 -0.87% -4.16% 0.83% -4.42%
1952
 3.37% -1.26% 4.21% -1.76%
1951
 4.37% -1.85% 4.78% -2.55%
1950
 7.47% -1.53% 9.14% -1.91%
1949
 6.13% -1.15% 8.58% -0.97%
1948
 1.16% -2.70% 1.89% -3.09%
1947
 3.61% -1.52% 1.53% -1.94%
1946
 -0.66% -5.77% -0.92% -7.07%
1945
 12.40% -0.87% 15.78% -0.88%
1944
 5.95% -0.36% 7.97% -0.39%
1943
 8.33% -2.35% 9.97% -2.77%
1942
 5.04% -3.00% 6.45% -3.58%
1941
 -1.49% -3.80% -1.20% -4.99%
1940
 -0.01% -6.09% 1.87% -7.70%
1939
 1.75% -3.29% 2.79% -3.74%
1938
 8.45% -6.59% 10.37% -7.91%
1937
 -8.65% -10.20% -10.07% -12.18%
1936
 10.39% -1.85% 14.42% -2.08%
1935
 12.79% -1.85% 16.55% -1.39%
1934
 5.72% -3.27% 8.27% -3.11%
1933
 28.60% -5.74% 23.55% -7.04%
1932
 2.17% -10.03% 5.54% -10.85%
1931
 -12.64% -16.23% -17.79% -21.07%
1930
 -4.39% -9.07% -5.90% -10.68%
1929
 -0.83% -9.26% -1.20% -10.34%
1928
 10.25% -1.14% 11.11% -1.64%
1927
 11.58% -1.05% 14.04% -1.26%
1926
 5.78% -1.79% 6.53% -2.18%
1925
 8.98% -1.51% 10.80% -1.86%
1924
 10.18% -0.44% 13.10% -0.48%
1923
 3.65% -2.70% 4.44% -3.38%
1922
 9.97% -1.17% 12.65% -1.45%
1921
 8.74% -1.62% 9.83% -2.12%
1920
 -1.56% -2.72% -5.55% -5.68%
1919
 6.55% -2.10% 5.81% -2.69%
1918
 7.63% -0.71% 7.85% -0.84%
1917
 -4.88% -4.88% -7.65% -7.65%
1916
 4.56% -0.66% 7.39% -0.65%
1915
 10.27% -0.48% 14.08% -0.61%
1914
 1.02% -3.96% 0.88% -4.99%
1913
 0.91% -1.08% -0.05% -2.01%
1912
 3.57% -0.83% 3.48% -1.15%
1911
 2.86% -2.33% 3.28% -2.93%
1910
 0.96% -1.93% 0.15% -3.13%
1909
 5.56% -0.47% 6.57% -0.53%
1908
 13.65% -0.55% 16.74% -0.51%
1907
 -5.24% -5.97% -8.40% -8.70%
1906
 1.58% -1.96% 0.59% -3.33%
1905
 6.99% -1.27% 7.83% -1.78%
1904
 10.35% -0.56% 12.56% -0.84%
1903
 -2.87% -5.48% -4.67% -7.60%
1902
 3.72% -1.71% 3.24% -2.40%
1901
 6.40% -2.12% 6.47% -2.76%
1900
 7.28% -1.02% 8.45% -1.38%
1899
 2.46% -1.66% 2.72% -2.13%
1898
 9.71% -2.16% 11.99% -4.26%
1897
 7.76% -0.96% 9.70% -0.85%
1896
 3.16% -3.48% 2.87% -5.53%
1895
 2.81% -2.88% 2.80% -4.23%
1894
 3.47% -0.91% 4.58% -1.05%
1893
 -2.22% -6.13% -4.72% -9.21%
1892
 3.62% -0.58% 3.45% -0.93%
1891
 6.97% -1.39% 7.45% -2.60%
1890
 -0.21% -2.89% -1.50% -4.15%
1889
 4.74% -0.41% 5.38% -0.71%
1888
 3.54% -0.99% 4.41% -1.57%
1887
 1.07% -2.41% -0.36% -4.08%
1886
 5.01% -0.83% 5.02% -1.39%
1885
 10.08% -0.41% 11.99% -0.98%
1884
 -0.61% -3.78% -1.97% -5.63%
1883
 0.77% -1.33% 0.14% -2.08%
1882
 3.35% -1.31% 3.24% -1.91%
1881
 2.94% -1.91% 3.46% -3.20%
1880
 9.92% -1.87% 12.13% -2.30%
1879
 14.82% -0.23% 17.34% -0.47%
1878
 6.08% -0.22% 7.44% -0.16%
1877
 1.31% -4.59% 1.94% -4.81%
1876
 -1.26% -2.91% -0.20% -3.96%
1875
 6.22% -0.40% 7.61% -1.41%
1874
 5.61% -0.80% 7.35% -1.45%
1873
 1.85% -4.51% 1.49% -7.70%
1872
 6.24% -0.91% 5.32% -2.48%
1871
 6.83% -1.19% 8.01% -1.75%