Consolidated Returns as of 31 October 2024
Managing the Ray Dalio Canadian All Weather Portfolio with a yearly rebalancing, you would have obtained a 6.56% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 6.92%.
How do returns and drawdowns change, implementing different rebalancing strategies?
Rebalancing Strategies
In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Oct 31, 2024
Implementing different rebalancing strategies, the Ray Dalio Canadian All Weather Portfolio guaranteed the following returns.
Portfolio returns are calculated in CAD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
- the adjustment for actual currency exchange rates (simulation derived from original US returns)
| Return (%) and number of rebalances as of Oct 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~31Y) |
|||||
| No Rebalancing | 22.27 | (0) | 3.63 | (0) | 4.17 | (0) | 6.56 | (0) | 6.41 | (0) |
| Yearly Rebalancing | 19.81 | (1) | 4.18 | (5) | 4.36 | (10) | 6.92 | (30) | 6.76 | (30) |
| Half Yearly Rebalancing | 19.42 | (2) | 4.22 | (10) | 4.40 | (20) | 6.92 | (60) | 6.77 | (61) |
| Quarterly Rebalancing | 19.62 | (4) | 4.24 | (20) | 4.41 | (40) | 6.92 | (120) | 6.77 | (122) |
| 5% Tolerance per asset | 20.08 | (0) | 4.55 | (4) | 4.60 | (6) | 6.99 | (18) | 6.83 | (18) |
| 10% Tolerance per asset | 20.04 | (1) | 4.03 | (1) | 4.41 | (1) | 6.95 | (5) | 6.80 | (5) |
In order to have complete information about the portfolio, please refer to the Ray Dalio Canadian All Weather Portfolio: ETF allocation and returns page.
Performances as of Oct 31, 2024
Historical returns and stats of Ray Dalio Canadian All Weather Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 6.41 | (0) | 7.22 | 0.89 | -14.22 | 0.45 |
| Yearly Rebalancing | 6.76 | (30) | 6.88 | 0.98 | -13.38 | 0.51 |
| Half Yearly Rebalancing | 6.77 | (61) | 6.87 | 0.99 | -12.67 | 0.53 |
| Quarterly Rebalancing | 6.77 | (122) | 6.90 | 0.98 | -13.31 | 0.51 |
| 5% Tolerance per asset | 6.83 | (18) | 6.90 | 0.99 | -13.61 | 0.50 |
| 10% Tolerance per asset | 6.80 | (5) | 7.06 | 0.96 | -13.76 | 0.49 |
Drawdowns as of Oct 31, 2024
Historical Drawdowns of Ray Dalio Canadian All Weather Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-14.22
Jul 2008 - Aug 2010
|
-13.38
Jul 2008 - Nov 2009
|
-12.67
Jul 2008 - Nov 2009
|
-13.31
Jul 2008 - Apr 2010
|
-13.61
Jul 2008 - Apr 2010
|
-13.76
Jul 2008 - May 2010
|
|
-14.19
Jan 2022 - Jul 2024
|
-11.51
Jan 2022 - Jul 2024
|
-11.51
Jan 2022 - Jul 2024
|
-11.79
Jan 2022 - Jul 2024
|
-11.18
Jan 2022 - Jul 2024
|
-12.67
Jan 2022 - Jul 2024
|
|
-11.74
Sep 2000 - May 2003
|
-10.21
Sep 2000 - May 2003
|
-9.83
Jun 1998 - Apr 1999
|
-9.80
Jun 1998 - Apr 1999
|
-10.17
Jun 1998 - Nov 1999
|
-10.13
Jun 1998 - Apr 1999
|
|
-10.13
Jun 1998 - Apr 1999
|
-10.03
Jun 1998 - Apr 1999
|
-9.81
Sep 2000 - May 2003
|
-9.76
Sep 2000 - May 2003
|
-9.80
Sep 2000 - May 2003
|
-10.08
Sep 2000 - Dec 2002
|
|
-6.29
Feb 2020 - May 2020
|
-6.31
Mar 2015 - Jun 2016
|
-6.29
Mar 2015 - Jun 2016
|
-6.28
Feb 2020 - May 2020
|
-6.50
Feb 2020 - May 2020
|
-6.58
Dec 2012 - Feb 2014
|
| 5 Worst Drawdowns - Average | |||||
| -11.32 | -10.29 | -10.02 | -10.19 | -10.25 | -10.65 |
| 10 Worst Drawdowns - Average | |||||
| -8.22 | -7.59 | -7.45 | -7.53 | -7.53 | -7.91 |
For a deeper insight, please refer to the Ray Dalio Canadian All Weather Portfolio: ETF allocation and returns page.
