Dynamic 40/60 Income vs Ray Dalio All Weather Portfolio Comparison

Period: January 1992 - September 2024 (~33 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
October 1994
8.39$
Final Capital
September 2024
7.35%
Yearly Return
8.12
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
October 1994
9.48$
Final Capital
September 2024
7.79%
Yearly Return
7.42
Std Deviation
-20.58%
Max Drawdown
33 months
Recovery Period
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
January 1992
10.62$
Final Capital
September 2024
7.48%
Yearly Return
7.86
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1992
10.94$
Final Capital
September 2024
7.58%
Yearly Return
7.28
Std Deviation
-20.58%
Max Drawdown
33 months
Recovery Period

The Dynamic 40/60 Income Portfolio obtained a 7.35% compound annual return, with a 8.12% standard deviation, in the last 30 Years.

The Ray Dalio All Weather Portfolio obtained a 7.79% compound annual return, with a 7.42% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1992 - 30 September 2024 (~33 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~33Y)
Dynamic 40/60 Income 10.58 2.05 6.79 18.95 4.84 5.05 7.35 7.48
All Weather Portfolio
Ray Dalio 		9.67 2.04 7.21 20.38 4.63 5.41 7.79 7.58
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Dynamic 40/60 Income Portfolio: an investment of 1$, since October 1994, now would be worth 8.39$, with a total return of 739.29% (7.35% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since October 1994, now would be worth 9.48$, with a total return of 848.41% (7.79% annualized).


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Dynamic 40/60 Income Portfolio: an investment of 1$, since January 1992, now would be worth 10.62$, with a total return of 961.65% (7.48% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1992, now would be worth 10.94$, with a total return of 994.36% (7.58% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1992 - 30 September 2024 (~33 years)
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Dynamic 40/60 Income All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 18.95 20.38
Infl. Adjusted Return (%) 16.16 17.55
DRAWDOWN
Deepest Drawdown Depth (%) -2.45 -3.73
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -1.87 -0.52
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 7.32 9.87
Sharpe Ratio 1.86 1.52
Sortino Ratio 2.58 2.10
Ulcer Index 0.85 1.29
Ratio: Return / Standard Deviation 2.59 2.06
Ratio: Return / Deepest Drawdown 7.75 5.47
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Dynamic 40/60 Income All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 4.84 4.63
Infl. Adjusted Return (%) 0.64 0.43
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Negative Period (months) 38 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.11 10.25
Sharpe Ratio 0.26 0.24
Sortino Ratio 0.34 0.33
Ulcer Index 7.24 9.50
Ratio: Return / Standard Deviation 0.48 0.45
Ratio: Return / Deepest Drawdown 0.28 0.22
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Dynamic 40/60 Income All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 5.05 5.41
Infl. Adjusted Return (%) 2.13 2.48
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Negative Period (months) 38 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.86 8.36
Sharpe Ratio 0.45 0.47
Sortino Ratio 0.60 0.64
Ulcer Index 5.24 7.05
Ratio: Return / Standard Deviation 0.64 0.65
Ratio: Return / Deepest Drawdown 0.29 0.26
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Dynamic 40/60 Income All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 7.35 7.79
Infl. Adjusted Return (%) 4.71 5.14
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -20.58
Start to Recovery (months) 26 33*
Longest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Negative Period (months) 69 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.12 7.42
Sharpe Ratio 0.62 0.74
Sortino Ratio 0.81 0.99
Ulcer Index 4.85 4.44
Ratio: Return / Standard Deviation 0.90 1.05
Ratio: Return / Deepest Drawdown 0.25 0.38
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Dynamic 40/60 Income All Weather Portfolio
Author Ray Dalio
ASSET ALLOCATION
Stocks 40% 30%
Fixed Income 60% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 7.48 7.58
Infl. Adjusted Return (%) 4.81 4.91
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -20.58
Start to Recovery (months) 26 33*
Longest Drawdown Depth (%) -17.33 -20.58
Start to Recovery (months) 30 33*
Longest Negative Period (months) 69 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.86 7.28
Sharpe Ratio 0.65 0.71
Sortino Ratio 0.85 0.96
Ulcer Index 4.70 4.36
Ratio: Return / Standard Deviation 0.95 1.04
Ratio: Return / Deepest Drawdown 0.25 0.37
Metrics calculated over the period 1 January 1992 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1992 - 30 September 2024 (~33 years)

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Dynamic 40/60 Income All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-20.58 33* Jan 2022
In progress
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-9.38 8 May 1998
Dec 1998
-7.19 8 Jun 2011
Jan 2012
-6.73 9 May 2002
Jan 2003
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-5.29 9 May 2013
Jan 2014
-5.09 5 Oct 2018
Feb 2019
-4.83 4 Jul 1998
Oct 1998
-4.76 6 Apr 2004
Sep 2004

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Dynamic 40/60 Income All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-20.58 33* Jan 2022
In progress
-17.33 30 Jan 2022
Jun 2024
-12.42 6 Feb 2020
Jul 2020
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-9.38 8 May 1998
Dec 1998
-7.19 8 Jun 2011
Jan 2012
-6.83 14 Feb 1994
Mar 1995
-6.73 9 May 2002
Jan 2003
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-5.36 15 Feb 1994
Apr 1995
-5.29 9 May 2013
Jan 2014
-5.09 5 Oct 2018
Feb 2019

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 1992 - 30 September 2024 (~33 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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Dynamic 40/60 Income All Weather Portfolio
Year Return Drawdown Return Drawdown
2024
 10.58% -2.45% 9.67% -3.73%
2023
 11.97% -5.00% 9.95% -9.25%
2022
 -14.37% -17.33% -18.39% -20.58%
2021
 6.72% -1.83% 8.27% -3.74%
2020
 8.28% -12.42% 15.88% -3.68%
2019
 15.91% -1.51% 17.93% -0.83%
2018
 -3.18% -5.09% -3.02% -4.71%
2017
 9.18% 0.00% 11.55% -0.49%
2016
 7.53% -1.95% 6.50% -6.42%
2015
 0.21% -4.06% -3.23% -6.66%
2014
 7.01% -1.44% 12.89% -2.52%
2013
 6.13% -3.06% 1.71% -5.29%
2012
 12.70% -2.72% 7.02% -1.33%
2011
 2.96% -7.19% 15.64% -2.00%
2010
 11.25% -3.72% 12.88% -0.69%
2009
 22.37% -15.04% 2.71% -11.57%
2008
 -14.80% -23.51% 2.38% -11.38%
2007
 0.88% -3.23% 11.88% -1.20%
2006
 9.18% -1.29% 6.93% -1.71%
2005
 5.23% -1.76% 8.55% -2.99%
2004
 8.41% -3.31% 9.41% -4.76%
2003
 21.64% -1.30% 13.96% -4.74%
2002
 1.03% -6.73% 7.77% -1.56%
2001
 8.71% -3.24% -2.77% -4.61%
2000
 3.43% -4.13% 10.15% -2.26%
1999
 11.02% -2.15% 6.28% -3.79%
1998
 6.04% -9.38% 11.05% -4.83%
1997
 16.36% -2.49% 13.54% -2.89%
1996
 16.81% -1.12% 8.27% -2.11%
1995
 23.17% 0.00% 27.44% 0.00%
1994
 -3.19% -5.36% -3.28% -6.83%
1993
 14.73% -0.57% 12.02% -1.98%
1992
 12.95% -0.70% 6.76% -2.23%