Ray Dalio All Weather vs Harry Browne Permanent 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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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
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
January 1871
12517.51$
Final Capital
October 2024
6.33%
Yearly Return
6.56
Std Deviation
-37.02%
Max Drawdown
68months
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

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

The Harry Browne Permanent Portfolio obtained a 6.92% compound annual return, with a 6.63% 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)
All Weather Portfolio
Ray Dalio 		7.36 -2.10 9.01 20.91 4.07 5.00 7.71 6.33
Permanent Portfolio
Harry Browne 		13.24 -0.13 11.07 23.92 6.19 5.92 6.92 5.84
Return over 1 year are annualized.

Capital Growth as of Oct 31, 2024

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).

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).


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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).

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).


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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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All Weather Portfolio Permanent Portfolio
Author Ray Dalio Harry Browne
ASSET ALLOCATION
Stocks 30% 25%
Fixed Income 55% 50%
Commodities 15% 25%
PERFORMANCES
Annualized Return (%) 20.91 23.92
Infl. Adjusted Return (%) 17.87 20.81
DRAWDOWN
Deepest Drawdown Depth (%) -3.73 -1.77
Start to Recovery (months) 3 2
Longest Drawdown Depth (%) -0.52 -0.53
Start to Recovery (months) 3 2
Longest Negative Period (months) 4 1
RISK INDICATORS
Standard Deviation (%) 9.70 6.64
Sharpe Ratio 1.61 2.80
Sortino Ratio 2.23 3.86
Ulcer Index 1.22 0.51
Ratio: Return / Standard Deviation 2.16 3.61
Ratio: Return / Deepest Drawdown 5.61 13.53
Metrics calculated over the period 1 November 2023 - 31 October 2024
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All Weather Portfolio Permanent Portfolio
Author Ray Dalio Harry Browne
ASSET ALLOCATION
Stocks 30% 25%
Fixed Income 55% 50%
Commodities 15% 25%
PERFORMANCES
Annualized Return (%) 4.07 6.19
Infl. Adjusted Return (%) -0.10 1.93
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Negative Period (months) 46 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.31 8.59
Sharpe Ratio 0.18 0.46
Sortino Ratio 0.25 0.65
Ulcer Index 9.51 5.90
Ratio: Return / Standard Deviation 0.39 0.72
Ratio: Return / Deepest Drawdown 0.20 0.39
Metrics calculated over the period 1 November 2019 - 31 October 2024
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All Weather Portfolio Permanent Portfolio
Author Ray Dalio Harry Browne
ASSET ALLOCATION
Stocks 30% 25%
Fixed Income 55% 50%
Commodities 15% 25%
PERFORMANCES
Annualized Return (%) 5.00 5.92
Infl. Adjusted Return (%) 2.06 2.95
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Negative Period (months) 46 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.39 7.31
Sharpe Ratio 0.41 0.60
Sortino Ratio 0.57 0.86
Ulcer Index 7.06 4.69
Ratio: Return / Standard Deviation 0.60 0.81
Ratio: Return / Deepest Drawdown 0.24 0.37
Metrics calculated over the period 1 November 2014 - 31 October 2024
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All Weather Portfolio Permanent Portfolio
Author Ray Dalio Harry Browne
ASSET ALLOCATION
Stocks 30% 25%
Fixed Income 55% 50%
Commodities 15% 25%
PERFORMANCES
Annualized Return (%) 7.71 6.92
Infl. Adjusted Return (%) 5.06 4.29
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Drawdown Depth (%) -20.58 -15.92
Start to Recovery (months) 34* 27
Longest Negative Period (months) 46 40
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.44 6.63
Sharpe Ratio 0.73 0.70
Sortino Ratio 0.98 0.97
Ulcer Index 4.44 3.20
Ratio: Return / Standard Deviation 1.04 1.04
Ratio: Return / Deepest Drawdown 0.37 0.43
Metrics calculated over the period 1 November 1994 - 31 October 2024
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All Weather Portfolio Permanent Portfolio
Author Ray Dalio Harry Browne
ASSET ALLOCATION
Stocks 30% 25%
Fixed Income 55% 50%
Commodities 15% 25%
PERFORMANCES
Annualized Return (%) 6.33 5.84
Infl. Adjusted Return (%) 4.12 3.64
DRAWDOWN
Deepest Drawdown Depth (%) -37.02 -30.61
Start to Recovery (months) 68 46
Longest Drawdown Depth (%) -37.02 -14.17
Start to Recovery (months) 68 53
Longest Negative Period (months) 84 80
RISK INDICATORS
Standard Deviation (%) 6.56 5.81
Sharpe Ratio 0.35 0.32
Sortino Ratio 0.50 0.47
Ulcer Index 4.58 3.53
Ratio: Return / Standard Deviation 0.96 1.00
Ratio: Return / Deepest Drawdown 0.17 0.19
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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All Weather Portfolio Permanent 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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All Weather Portfolio Permanent 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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All Weather Portfolio Permanent Portfolio
Year Return Drawdown Return Drawdown
2024
 7.36% -3.73% 13.24% -1.77%
2023
 9.95% -9.25% 11.55% -5.68%
2022
 -18.39% -20.58% -12.53% -15.92%
2021
 8.27% -3.74% 4.21% -4.43%
2020
 15.88% -3.68% 16.10% -3.30%
2019
 17.93% -0.83% 16.17% -1.10%
2018
 -3.02% -4.71% -1.76% -4.25%
2017
 11.55% -0.49% 10.97% -0.83%
2016
 6.50% -6.42% 5.54% -6.98%
2015
 -3.23% -6.66% -3.06% -6.73%
2014
 12.89% -2.52% 9.40% -2.62%
2013
 1.71% -5.29% -2.08% -6.04%
2012
 7.02% -1.33% 6.41% -1.83%
2011
 15.64% -2.00% 11.11% -1.85%
2010
 12.88% -0.69% 13.92% -0.53%
2009
 2.71% -11.57% 7.85% -6.22%
2008
 2.38% -11.38% 0.87% -12.63%
2007
 11.88% -1.20% 12.69% -1.20%
2006
 6.93% -1.71% 10.94% -2.12%
2005
 8.55% -2.99% 8.91% -1.25%
2004
 9.41% -4.76% 6.83% -4.20%
2003
 13.96% -4.74% 13.32% -2.34%
2002
 7.77% -1.56% 5.85% -4.02%
2001
 -2.77% -4.61% -0.52% -4.13%
2000
 10.15% -2.26% 2.40% -3.23%
1999
 6.28% -3.79% 5.17% -3.54%
1998
 11.05% -4.83% 10.09% -5.34%
1997
 13.54% -2.89% 7.19% -2.33%
1996
 8.27% -2.11% 5.08% -2.02%
1995
 27.44% 0.00% 18.11% 0.00%
1994
 -3.28% -6.83% -1.37% -3.63%
1993
 12.02% -1.98% 12.00% -0.99%
1992
 6.76% -2.23% 3.57% -1.77%
1991
 17.98% -1.86% 11.72% -0.88%
1990
 3.85% -5.51% 1.11% -4.53%
1989
 20.45% -1.14% 12.90% -1.18%
1988
 10.59% -1.93% 4.39% -1.50%
1987
 3.47% -8.78% 7.42% -5.78%
1986
 20.56% -3.75% 17.64% -1.28%
1985
 28.68% -2.13% 20.47% -2.05%
1984
 8.03% -6.61% 2.22% -3.58%
1983
 7.06% -3.16% 3.46% -2.83%
1982
 31.65% -3.13% 23.27% -5.51%
1981
 -3.74% -11.76% -5.34% -9.88%
1980
 10.35% -10.89% 13.65% -11.38%
1979
 19.26% -6.57% 39.77% -4.50%
1978
 7.24% -3.43% 12.78% -5.31%
1977
 2.14% -2.83% 6.43% -2.00%
1976
 15.78% -1.12% 11.22% -2.75%
1975
 12.93% -5.16% 6.98% -7.00%
1974
 1.78% -11.04% 12.43% -11.15%
1973
 6.67% -2.66% 15.65% -6.85%
1972
 14.50% 0.00% 18.84% -1.56%
1971
 14.60% -3.81% 12.86% -1.09%
1970
 10.73% -7.59% 7.89% -4.68%
1969
 -7.07% -8.33% -6.38% -8.20%
1968
 5.61% -2.31% 9.27% -1.10%
1967
 4.93% -2.43% 6.11% -1.37%
1966
 -0.21% -6.05% -0.04% -3.86%
1965
 4.08% -1.14% 4.59% -0.95%
1964
 7.34% -0.33% 6.00% -0.25%
1963
 6.73% -1.03% 6.05% -0.74%
1962
 0.34% -6.12% -0.23% -4.93%
1961
 7.57% -1.53% 6.50% -1.00%
1960
 8.59% -1.47% 5.64% -1.14%
1959
 1.91% -2.83% 2.72% -1.85%
1958
 9.85% -0.95% 9.97% -0.31%
1957
 1.56% -3.70% 0.57% -2.86%
1956
 0.45% -3.72% 1.35% -2.43%
1955
 6.44% -0.66% 6.24% -0.67%
1954
 17.99% -1.18% 14.12% -0.94%
1953
 0.83% -4.42% -0.87% -4.16%
1952
 4.21% -1.76% 3.37% -1.26%
1951
 4.78% -2.55% 4.37% -1.85%
1950
 9.14% -1.91% 7.47% -1.53%
1949
 8.58% -0.97% 6.13% -1.15%
1948
 1.89% -3.09% 1.16% -2.70%
1947
 1.53% -1.94% 3.61% -1.52%
1946
 -0.92% -7.07% -0.66% -5.77%
1945
 15.78% -0.88% 12.40% -0.87%
1944
 7.97% -0.39% 5.95% -0.36%
1943
 9.97% -2.77% 8.33% -2.35%
1942
 6.45% -3.58% 5.04% -3.00%
1941
 -1.20% -4.99% -1.49% -3.80%
1940
 1.87% -7.70% -0.01% -6.09%
1939
 2.79% -3.74% 1.75% -3.29%
1938
 10.37% -7.91% 8.45% -6.59%
1937
 -10.07% -12.18% -8.65% -10.20%
1936
 14.42% -2.08% 10.39% -1.85%
1935
 16.55% -1.39% 12.79% -1.85%
1934
 8.27% -3.11% 5.72% -3.27%
1933
 23.55% -7.04% 28.60% -5.74%
1932
 5.54% -10.85% 2.17% -10.03%
1931
 -17.79% -21.07% -12.64% -16.23%
1930
 -5.90% -10.68% -4.39% -9.07%
1929
 -1.20% -10.34% -0.83% -9.26%
1928
 11.11% -1.64% 10.25% -1.14%
1927
 14.04% -1.26% 11.58% -1.05%
1926
 6.53% -2.18% 5.78% -1.79%
1925
 10.80% -1.86% 8.98% -1.51%
1924
 13.10% -0.48% 10.18% -0.44%
1923
 4.44% -3.38% 3.65% -2.70%
1922
 12.65% -1.45% 9.97% -1.17%
1921
 9.83% -2.12% 8.74% -1.62%
1920
 -5.55% -5.68% -1.56% -2.72%
1919
 5.81% -2.69% 6.55% -2.10%
1918
 7.85% -0.84% 7.63% -0.71%
1917
 -7.65% -7.65% -4.88% -4.88%
1916
 7.39% -0.65% 4.56% -0.66%
1915
 14.08% -0.61% 10.27% -0.48%
1914
 0.88% -4.99% 1.02% -3.96%
1913
 -0.05% -2.01% 0.91% -1.08%
1912
 3.48% -1.15% 3.57% -0.83%
1911
 3.28% -2.93% 2.86% -2.33%
1910
 0.15% -3.13% 0.96% -1.93%
1909
 6.57% -0.53% 5.56% -0.47%
1908
 16.74% -0.51% 13.65% -0.55%
1907
 -8.40% -8.70% -5.24% -5.97%
1906
 0.59% -3.33% 1.58% -1.96%
1905
 7.83% -1.78% 6.99% -1.27%
1904
 12.56% -0.84% 10.35% -0.56%
1903
 -4.67% -7.60% -2.87% -5.48%
1902
 3.24% -2.40% 3.72% -1.71%
1901
 6.47% -2.76% 6.40% -2.12%
1900
 8.45% -1.38% 7.28% -1.02%
1899
 2.72% -2.13% 2.46% -1.66%
1898
 11.99% -4.26% 9.71% -2.16%
1897
 9.70% -0.85% 7.76% -0.96%
1896
 2.87% -5.53% 3.16% -3.48%
1895
 2.80% -4.23% 2.81% -2.88%
1894
 4.58% -1.05% 3.47% -0.91%
1893
 -4.72% -9.21% -2.22% -6.13%
1892
 3.45% -0.93% 3.62% -0.58%
1891
 7.45% -2.60% 6.97% -1.39%
1890
 -1.50% -4.15% -0.21% -2.89%
1889
 5.38% -0.71% 4.74% -0.41%
1888
 4.41% -1.57% 3.54% -0.99%
1887
 -0.36% -4.08% 1.07% -2.41%
1886
 5.02% -1.39% 5.01% -0.83%
1885
 11.99% -0.98% 10.08% -0.41%
1884
 -1.97% -5.63% -0.61% -3.78%
1883
 0.14% -2.08% 0.77% -1.33%
1882
 3.24% -1.91% 3.35% -1.31%
1881
 3.46% -3.20% 2.94% -1.91%
1880
 12.13% -2.30% 9.92% -1.87%
1879
 17.34% -0.47% 14.82% -0.23%
1878
 7.44% -0.16% 6.08% -0.22%
1877
 1.94% -4.81% 1.31% -4.59%
1876
 -0.20% -3.96% -1.26% -2.91%
1875
 7.61% -1.41% 6.22% -0.40%
1874
 7.35% -1.45% 5.61% -0.80%
1873
 1.49% -7.70% 1.85% -4.51%
1872
 5.32% -2.48% 6.24% -0.91%
1871
 8.01% -1.75% 6.83% -1.19%