Rob Arnott Portfolio vs Ray Dalio All Weather Portfolio Portfolio Comparison

Simulation Settings

Period: January 1985 - December 2024 (~40 years)
Consolidated Returns as of 31 December 2024

Rebalancing: at every Jan 1^st

Currency: USD

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Results

30 Years

All (since January 1985)

Rob Arnott Portfolio

1.00$
Initial Capital
January 1995
7.20$
Final Capital
December 2024
6.80%
Yearly Return
7.26%
Std Deviation
-24.27%
Max Drawdown
22months
Recovery Period

1.00$
Initial Capital
January 1985
22.72$
Final Capital
December 2024
8.12%
Yearly Return
7.18%
Std Deviation
-24.27%
Max Drawdown
22months
Recovery Period

Ray Dalio All Weather Portfolio

1.00$
Initial Capital
January 1995
9.18$
Final Capital
December 2024
7.67%
Yearly Return
7.47%
Std Deviation
-20.58%
Max Drawdown
36months*
Recovery Period
* in progress

1.00$
Initial Capital
January 1985
27.81$
Final Capital
December 2024
8.67%
Yearly Return
7.53%
Std Deviation
-20.58%
Max Drawdown
36months*
Recovery Period
* in progress

As of December 2024, in the previous 30 Years, the Rob Arnott Portfolio obtained a 6.80% compound annual return, with a 7.26% standard deviation. It suffered a maximum drawdown of -24.27% that required 22 months to be recovered.

As of December 2024, in the previous 30 Years, the Ray Dalio All Weather Portfolio obtained a 7.67% compound annual return, with a 7.47% standard deviation. It suffered a maximum drawdown of -20.58% which has been ongoing for 36 months and is still in progress.

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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Rob Arnott Portfolio

Weight (%)	ETF Ticker	Name
10.00	VEU	Vanguard FTSE All-World ex-US
10.00	VNQ	Vanguard Real Estate
10.00	VV	Vanguard Large-Cap
20.00	BNDX	Vanguard Total International Bond
20.00	LQD	iShares Investment Grade Corporate Bond
10.00	TLT	iShares 20+ Year Treasury Bond
10.00	TIP	iShares TIPS Bond
10.00	DBC	Invesco DB Commodity Tracking

Ray Dalio All Weather Portfolio

Weight (%)	ETF Ticker	Name
30.00	VTI	Vanguard Total Stock Market
40.00	TLT	iShares 20+ Year Treasury Bond
15.00	IEI	iShares 3-7 Year Treasury Bond
7.50	DBC	Invesco DB Commodity Tracking
7.50	GLD	SPDR Gold Trust

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Portfolio Returns as of Dec 31, 2024

Returns are calculated in USD, assuming:

no fees or capital gain taxes.
rebalancing: at every Jan 1^st.
dividend reinvestment, when applicable.
the actual US Inflation rates.

RETURN COMPARISON

Period: 1 January 1985 - 31 December 2024 (~40 years)

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		Return (%) as of Dec 31, 2024
		YTD (12M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~40Y)
	Rob Arnott Portfolio Rob Arnott	4.02	-2.71	2.55	4.02	3.00	3.89	6.80	8.12
	All Weather Portfolio Ray Dalio	6.36	-3.45	3.12	6.36	3.67	4.64	7.67	8.67
Return over 1 year are annualized.

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Capital Growth as of Dec 31, 2024

Rob Arnott Portfolio: an investment of 1$, since January 1995, now would be worth 7.20$, with a total return of 619.68% (6.80% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1995, now would be worth 9.18$, with a total return of 817.52% (7.67% annualized).

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Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 22.72$, with a total return of 2172.17% (8.12% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1985, now would be worth 27.81$, with a total return of 2680.63% (8.67% annualized).

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Readings that may interest you

Portfolio Metrics as of Dec 31, 2024

The following metrics, updated as of 31 December 2024, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON

Period: 1 January 2024 - 31 December 2024 (1 year)

Period: 1 January 2020 - 31 December 2024 (5 years)

Period: 1 January 2015 - 31 December 2024 (10 years)

Period: 1 January 1995 - 31 December 2024 (30 years)

Period: 1 January 1985 - 31 December 2024 (~40 years)

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	Rob Arnott Portfolio	All Weather Portfolio
Author	Rob Arnott	Ray Dalio
ASSET ALLOCATION
Stocks	30%	30%
Fixed Income	60%	55%
Commodities	10%	15%
PERFORMANCES
Annualized Return (%)	4.02	6.36
Infl. Adjusted Return (%)	1.49	3.77
DRAWDOWN
Deepest Drawdown Depth (%)	-3.16	-3.73
Start to Recovery (months)	3*	3
Longest Drawdown Depth (%)	-3.16	-0.52
Start to Recovery (months)	3*	3
Longest Negative Period (months)	4	4
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	6.73	8.02
Sharpe Ratio	-0.17	0.15
Sortino Ratio	-0.22	0.18
Ulcer Index	1.41	1.55
Ratio: Return / Standard Deviation	0.60	0.79
Ratio: Return / Deepest Drawdown	1.27	1.71
Metrics calculated over the period 1 January 2024 - 31 December 2024

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	Rob Arnott Portfolio	All Weather Portfolio
Author	Rob Arnott	Ray Dalio
ASSET ALLOCATION
Stocks	30%	30%
Fixed Income	60%	55%
Commodities	10%	15%
PERFORMANCES
Annualized Return (%)	3.00	3.67
Infl. Adjusted Return (%)	-1.08	-0.43
DRAWDOWN
Deepest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Negative Period (months)	45	46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	9.97	10.50
Sharpe Ratio	0.07	0.13
Sortino Ratio	0.09	0.17
Ulcer Index	7.65	9.53
Ratio: Return / Standard Deviation	0.30	0.35
Ratio: Return / Deepest Drawdown	0.17	0.18
Metrics calculated over the period 1 January 2020 - 31 December 2024

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	Rob Arnott Portfolio	All Weather Portfolio
Author	Rob Arnott	Ray Dalio
ASSET ALLOCATION
Stocks	30%	30%
Fixed Income	60%	55%
Commodities	10%	15%
PERFORMANCES
Annualized Return (%)	3.89	4.64
Infl. Adjusted Return (%)	0.90	1.63
DRAWDOWN
Deepest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Negative Period (months)	45	46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	7.90	8.50
Sharpe Ratio	0.29	0.36
Sortino Ratio	0.39	0.49
Ulcer Index	5.67	7.07
Ratio: Return / Standard Deviation	0.49	0.55
Ratio: Return / Deepest Drawdown	0.22	0.23
Metrics calculated over the period 1 January 2015 - 31 December 2024

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	Rob Arnott Portfolio	All Weather Portfolio
Author	Rob Arnott	Ray Dalio
ASSET ALLOCATION
Stocks	30%	30%
Fixed Income	60%	55%
Commodities	10%	15%
PERFORMANCES
Annualized Return (%)	6.80	7.67
Infl. Adjusted Return (%)	4.18	5.02
DRAWDOWN
Deepest Drawdown Depth (%)	-24.27	-20.58
Start to Recovery (months)	22	36*
Longest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Negative Period (months)	50	46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	7.26	7.47
Sharpe Ratio	0.62	0.72
Sortino Ratio	0.81	0.96
Ulcer Index	4.64	4.45
Ratio: Return / Standard Deviation	0.94	1.03
Ratio: Return / Deepest Drawdown	0.28	0.37
Metrics calculated over the period 1 January 1995 - 31 December 2024

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	Rob Arnott Portfolio	All Weather Portfolio
Author	Rob Arnott	Ray Dalio
ASSET ALLOCATION
Stocks	30%	30%
Fixed Income	60%	55%
Commodities	10%	15%
PERFORMANCES
Annualized Return (%)	8.12	8.67
Infl. Adjusted Return (%)	5.19	5.72
DRAWDOWN
Deepest Drawdown Depth (%)	-24.27	-20.58
Start to Recovery (months)	22	36*
Longest Drawdown Depth (%)	-17.86	-20.58
Start to Recovery (months)	36*	36*
Longest Negative Period (months)	50	46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	7.18	7.53
Sharpe Ratio	0.69	0.73
Sortino Ratio	0.92	1.00
Ulcer Index	4.17	4.04
Ratio: Return / Standard Deviation	1.13	1.15
Ratio: Return / Deepest Drawdown	0.33	0.42
Metrics calculated over the period 1 January 1985 - 31 December 2024

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Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DRAWDOWN COMPARISON

Period: 1 January 1995 - 31 December 2024 (30 years)

Period: 1 January 1985 - 31 December 2024 (~40 years)

Chart Table

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Rob Arnott Portfolio			All Weather Portfolio
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
-24.27	22	Jun 2008 Mar 2010
			-20.58	36*	Jan 2022 In progress
-17.86	36*	Jan 2022 In progress
			-11.57	9	Jan 2009 Sep 2009
			-11.38	6	Jul 2008 Dec 2008
-8.72	6	Feb 2020 Jul 2020
			-6.66	17	Feb 2015 Jun 2016
			-6.42	13	Aug 2016 Aug 2017
-6.23	16	Mar 2015 Jun 2016
-5.66	10	May 2013 Feb 2014
			-5.29	9	May 2013 Jan 2014
-4.84	6	Sep 2018 Feb 2019
			-4.83	4	Jul 1998 Oct 1998
			-4.76	6	Apr 2004 Sep 2004
			-4.74	4	Jun 2003 Sep 2003

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Rob Arnott Portfolio			All Weather Portfolio
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
-24.27	22	Jun 2008 Mar 2010
			-20.58	36*	Jan 2022 In progress
-17.86	36*	Jan 2022 In progress
			-11.57	9	Jan 2009 Sep 2009
			-11.38	6	Jul 2008 Dec 2008
			-8.78	13	Sep 1987 Sep 1988
-8.72	6	Feb 2020 Jul 2020
-7.37	16	Feb 1994 May 1995
			-6.83	14	Feb 1994 Mar 1995
			-6.66	17	Feb 2015 Jun 2016
			-6.42	13	Aug 2016 Aug 2017
-6.23	16	Mar 2015 Jun 2016
-6.11	7	Jan 1990 Jul 1990
-5.66	10	May 2013 Feb 2014
			-5.51	7	Jan 1990 Jul 1990

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

Annualized Rolling Returns Chart

Rolling Returns Chart - Inflation Adjusted

Time Period: 1 January 1985 - 31 December 2024 (~40 years)

Rolling Period:

Rob Arnott Portfolio
All Weather Portfolio

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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	Rob Arnott Portfolio		All Weather Portfolio
Year	Return (%)	Drawdown (%)	Return (%)	Drawdown (%)
2024	4.02	-3.16	6.36	-3.73
2023	9.08	-7.06	9.95	-9.25
2022	-14.81	-17.86	-18.39	-20.58
2021	11.04	-1.71	8.27	-3.74
2020	7.98	-8.72	15.88	-3.68
2019	16.67	-0.49	17.93	-0.83
2018	-4.12	-4.84	-3.02	-4.71
2017	9.02	-0.37	11.55	-0.49
2016	7.14	-3.86	6.50	-6.42
2015	-3.26	-5.73	-3.23	-6.66
2014	7.59	-2.79	12.89	-2.52
2013	1.41	-5.66	1.71	-5.29
2012	10.55	-2.17	7.02	-1.33
2011	7.73	-3.51	15.64	-2.00
2010	11.89	-2.99	12.88	-0.69
2009	14.59	-11.26	2.71	-11.57
2008	-11.48	-21.15	2.38	-11.38
2007	7.64	-1.84	11.88	-1.20
2006	8.97	-1.26	6.93	-1.71
2005	7.74	-2.50	8.55	-2.99
2004	11.93	-4.70	9.41	-4.76
2003	17.00	-2.42	13.96	-4.74
2002	8.16	-0.99	7.77	-1.56
2001	0.06	-2.47	-2.77	-4.61
2000	12.87	-0.83	10.15	-2.26
1999	7.22	-2.71	6.28	-3.79
1998	6.53	-4.10	11.05	-4.83
1997	7.20	-2.36	13.54	-2.89
1996	11.02	-0.75	8.27	-2.11
1995	21.23	0.00	27.44	0.00
1994	-2.84	-7.37	-3.28	-6.83
1993	13.77	-2.73	12.02	-1.98
1992	6.56	-2.87	6.76	-2.23
1991	18.67	-1.99	17.98	-1.86
1990	2.80	-6.11	3.85	-5.51
1989	17.53	-1.16	20.45	-1.14
1988	13.48	-1.21	10.59	-1.93
1987	6.41	-5.21	3.47	-8.78
1986	21.76	-3.06	20.56	-3.75
1985	27.17	-1.73	28.68	-2.13

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Build wealth
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Table of contents

Asset Allocations and ETFs

Portfolio Returns as of Dec 31, 2024

Capital Growth as of Dec 31, 2024

Portfolio Metrics as of Dec 31, 2024

Drawdowns

Rolling Returns

Yearly Returns