Ray Dalio All Weather vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Simulation Settings
Period: January 1982 - November 2024 (~43 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Ray Dalio All Weather Portfolio
1.00$
Initial Capital
December 1994
9.64$
Final Capital
November 2024
7.84%
Yearly Return
7.44
Std Deviation
-20.58%
Max Drawdown
35months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
December 1994
11.68$
Final Capital
November 2024
8.54%
Yearly Return
7.05
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
January 1982
43.85$
Final Capital
November 2024
9.21%
Yearly Return
7.67
Std Deviation
-20.58%
Max Drawdown
35months
Recovery Period
Stocks/Bonds 40/60 Momentum Portfolio
1.00$
Initial Capital
January 1982
55.99$
Final Capital
November 2024
9.83%
Yearly Return
7.45
Std Deviation
-21.11%
Max Drawdown
35months
Recovery Period

The Ray Dalio All Weather Portfolio obtained a 7.84% compound annual return, with a 7.44% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.54% compound annual return, with a 7.05% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1982 - 30 November 2024 (~43 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_ray_dalio.webp All Weather Portfolio
Ray Dalio 		10.16 2.61 8.71 15.85 4.46 5.11 7.84 9.21
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Stocks/Bonds 40/60 Momentum
-- Market Benchmark 		17.30 3.77 9.89 22.04 5.41 6.47 8.54 9.83
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Ray Dalio All Weather Portfolio: an investment of 1$, since December 1994, now would be worth 9.64$, with a total return of 863.58% (7.84% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since December 1994, now would be worth 11.68$, with a total return of 1068.06% (8.54% annualized).


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Ray Dalio All Weather Portfolio: an investment of 1$, since January 1982, now would be worth 43.85$, with a total return of 4285.03% (9.21% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1982, now would be worth 55.99$, with a total return of 5498.72% (9.83% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 15.85 22.04
Infl. Adjusted Return (%) 12.77 18.79
DRAWDOWN
Deepest Drawdown Depth (%) -3.73 -3.77
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -0.52 -3.77
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 2
RISK INDICATORS
Standard Deviation (%) 7.97 7.60
Sharpe Ratio 1.33 2.21
Sortino Ratio 1.68 2.61
Ulcer Index 1.22 1.13
Ratio: Return / Standard Deviation 1.99 2.90
Ratio: Return / Deepest Drawdown 4.25 5.85
Metrics calculated over the period 1 December 2023 - 30 November 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 4.46 5.41
Infl. Adjusted Return (%) 0.27 1.18
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.36 10.19
Sharpe Ratio 0.21 0.31
Sortino Ratio 0.29 0.41
Ulcer Index 9.51 10.18
Ratio: Return / Standard Deviation 0.43 0.53
Ratio: Return / Deepest Drawdown 0.22 0.26
Metrics calculated over the period 1 December 2019 - 30 November 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 5.11 6.47
Infl. Adjusted Return (%) 2.11 3.44
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.41 8.09
Sharpe Ratio 0.42 0.61
Sortino Ratio 0.58 0.80
Ulcer Index 7.06 7.31
Ratio: Return / Standard Deviation 0.61 0.80
Ratio: Return / Deepest Drawdown 0.25 0.31
Metrics calculated over the period 1 December 2014 - 30 November 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 7.84 8.54
Infl. Adjusted Return (%) 5.19 5.87
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.44 7.05
Sharpe Ratio 0.75 0.89
Sortino Ratio 1.00 1.16
Ulcer Index 4.44 5.25
Ratio: Return / Standard Deviation 1.05 1.21
Ratio: Return / Deepest Drawdown 0.38 0.40
Metrics calculated over the period 1 December 1994 - 30 November 2024
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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Author Ray Dalio
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 55% 60%
Commodities 15% 0%
PERFORMANCES
Annualized Return (%) 9.21 9.83
Infl. Adjusted Return (%) 6.17 6.77
DRAWDOWN
Deepest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Drawdown Depth (%) -20.58 -21.11
Start to Recovery (months) 35* 35
Longest Negative Period (months) 46 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.67 7.45
Sharpe Ratio 0.73 0.84
Sortino Ratio 1.02 1.13
Ulcer Index 3.94 4.68
Ratio: Return / Standard Deviation 1.20 1.32
Ratio: Return / Deepest Drawdown 0.45 0.47
Metrics calculated over the period 1 January 1982 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1982 - 30 November 2024 (~43 years)

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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-20.58 35* Jan 2022
In progress
-20.54 30 Nov 2007
Apr 2010
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-5.89 6 Oct 2018
Mar 2019
-5.29 9 May 2013
Jan 2014
-4.83 4 Jul 1998
Oct 1998
-4.76 6 Apr 2004
Sep 2004
-4.74 4 Jun 2003
Sep 2003
-4.71 7 Sep 2018
Mar 2019

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All Weather Portfolio Stocks/Bonds 40/60 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-21.11 35 Nov 2021
Sep 2024
-20.58 35* Jan 2022
In progress
-20.54 30 Nov 2007
Apr 2010
-13.77 19 Sep 1987
Mar 1989
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-8.78 13 Sep 1987
Sep 1988
-8.48 28 Feb 2001
May 2003
-7.10 4 Feb 2020
May 2020
-7.10 16 May 1983
Aug 1984
-6.83 14 Feb 1994
Mar 1995
-6.66 17 Feb 2015
Jun 2016
-6.42 13 Aug 2016
Aug 2017
-6.28 7 Feb 1984
Aug 1984
-5.91 13 Feb 1994
Feb 1995

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 1982 - 30 November 2024 (~43 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 Stocks/Bonds 40/60 Momentum
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 10.16 -3.73 17.30 -3.77
2023
 9.95 -9.25 6.90 -5.19
2022
 -18.39 -20.58 -15.17 -19.48
2021
 8.27 -3.74 4.23 -2.38
2020
 15.88 -3.68 16.57 -7.10
2019
 17.93 -0.83 16.20 -0.81
2018
 -3.02 -4.71 -0.73 -5.89
2017
 11.55 -0.49 17.14 0.00
2016
 6.50 -6.42 3.51 -3.61
2015
 -3.23 -6.66 3.91 -2.95
2014
 12.89 -2.52 9.34 -1.49
2013
 1.71 -5.29 12.57 -1.74
2012
 7.02 -1.33 7.87 -2.05
2011
 15.64 -2.00 7.13 -3.62
2010
 12.88 -0.69 10.93 -3.48
2009
 2.71 -11.57 9.16 -9.41
2008
 2.38 -11.38 -12.27 -15.80
2007
 11.88 -1.20 11.21 -0.82
2006
 6.93 -1.71 6.78 -1.50
2005
 8.55 -2.99 9.09 -0.93
2004
 9.41 -4.76 9.22 -2.12
2003
 13.96 -4.74 12.78 -1.27
2002
 7.77 -1.56 0.04 -5.36
2001
 -2.77 -4.61 -1.88 -6.89
2000
 10.15 -2.26 2.99 -3.33
1999
 6.28 -3.79 15.71 -1.69
1998
 11.05 -4.83 24.65 -4.13
1997
 13.54 -2.89 20.41 -2.69
1996
 8.27 -2.11 14.08 -1.52
1995
 27.44 0.00 27.84 0.00
1994
 -3.28 -6.83 -2.03 -5.91
1993
 12.02 -1.98 11.10 -0.87
1992
 6.76 -2.23 6.01 -2.11
1991
 17.98 -1.86 23.91 -1.79
1990
 3.85 -5.51 5.79 -5.29
1989
 20.45 -1.14 25.29 -1.01
1988
 10.59 -1.93 7.24 -2.95
1987
 3.47 -8.78 1.86 -13.77
1986
 20.56 -3.75 18.14 -4.37
1985
 28.68 -2.13 26.30 -0.74
1984
 8.03 -6.61 8.68 -6.28
1983
 7.06 -3.16 9.91 -2.81
1982
 31.65 -3.13 30.86 -1.48