All Weather Portfolio by Ray Dalio: backtest and critical analysis (1999-2025)

Last updated: February 2026

What is the All Weather Portfolio?

The All Weather Portfolio is an investment strategy created by Ray Dalio (founder of Bridgewater Associates) that spreads capital across 5 asset classes to perform in every economic environment: 30% stocks, 40% long-term bonds, 15% intermediate bonds, 7.5% gold and 7.5% commodities. Based on the risk parity principle, this portfolio aims for reduced volatility by balancing each asset class's risk contribution rather than its capital weight.

Introduction

Ray Dalio's All Weather Portfolio has a near-legendary reputation among passive investors. Marketed as the portfolio capable of weathering every economic storm — growth, recession, inflation, deflation — it has attracted millions of investors since Tony Robbins popularized it in 2014.

But is this reputation deserved? When you subject this portfolio to a rigorous backtest on Swiss data, with objective comparisons against other strategies, the results hold a few surprises... and not necessarily pleasant ones.

In this article, we dissect the All Weather Portfolio: its philosophy, its composition, and above all its real performance measured in Swiss francs over 26 years. You will discover how this portfolio stacks up against the classic 60/40, Harry Browne's Permanent Portfolio, and modern optimized strategies.

Spoiler: the numbers will surprise you.

1. Origins and philosophy: heir to the Permanent Portfolio

1.1 The connection with Harry Browne

The All Weather Portfolio did not emerge in a vacuum. It belongs to a lineage of "all-season" portfolios pioneered by Harry Browne with his Permanent Portfolio created in 1981.

Both strategies share the same fundamental philosophy and use a nearly identical conceptual framework.

The 4 economic seasons

• Harry Browne: Prosperity / Inflation / Recession / Deflation
• Ray Dalio: Strong growth / Inflation / Weak growth / Deflation

The underlying logic is the same: since no one can predict which economic environment will materialize, you might as well hold assets that perform well in each of these four situations. When stocks suffer (recession), long-term bonds thrive. When inflation strikes, gold and commodities take over.

Shared philosophy: humility in the face of unpredictability

Both creators start from the same intellectually honest premise: nobody can consistently predict market outcomes. Browne wrote in 1981 that the goal was "a portfolio that works whatever the economic weather." Dalio would later say, with disarming candor:

"We have 1,500 people at Bridgewater, we spend hundreds of millions on research... and we still don't know if our trades will be winners."

That quote deserves a pause. If Bridgewater, with its armies of analysts and colossal budgets, admits its inability to predict markets... on what exactly does the All Weather Portfolio's promise rest? It's a question worth keeping in mind throughout this article.

1.2 Where the two fundamentally differ

Despite their philosophical similarities, the two portfolios diverge on one crucial point: their conception of diversification.

The Permanent Portfolio: pure equality

• 25% everywhere (stocks, LT bonds, gold, cash)
• Equal capital = equal conceptual weight
• Simple, mechanical rebalancing
• Designed for individual investors from the outset

The All Weather: risk parity

• Massive overweight in bonds (55% vs 25%)
• Parity of risks, not allocations
• 30% stocks but only ~25% of total risk
• Commodities diluted to 7.5% (vs 25% for gold in Browne's model)

This difference is not trivial. The All Weather allocates more than half the portfolio to bonds because they are less volatile than stocks. The objective is to balance each asset class's risk contribution, not its capital weight.

Rebalancing

Both strategies recommend annual rebalancing to maintain target allocations. This discipline is essential to the portfolio's proper functioning: it forces you to sell what has risen (stocks in a bull market) to buy what has fallen (bonds during rate hikes), thereby capturing economic cycles.

1.3 A quote worth reflecting on

Let's return to Dalio's words: "We have 1,500 people... and we still don't know if our trades will be winners."

If the giant Bridgewater, managing over $150 billion, cannot predict markets despite its unlimited resources... on what exactly does the All Weather Portfolio's promise rest?

The theoretical answer: on diversification and risk balancing, not on prediction. The practical answer: on the retrospective optimization of a portfolio that shone during a very specific period of financial history (1980-2020). We will come back to this.

2. Detailed composition and theoretical justification

2.1 The precise allocation

Here is the exact composition of the All Weather Portfolio as popularized by Tony Robbins following his interview with Ray Dalio:

Total bonds: 55% — This overweight is what shocks at first glance and radically differentiates this portfolio from a classic 60/40.

Important note on intermediate bonds: Some sources mention durations of 3-7 years, but the most reliable implementations (PortfolioVisualizer, Bogleheads, etc.) use 7-10 year bonds via the IEF ETF.

2.2 The risk parity theory

The key concept for understanding the All Weather Portfolio is risk parity. Unlike a traditional allocation focused on capital amounts invested, risk parity aims to balance each asset's risk contribution.

Why 55% in bonds?

In a classic 60/40 portfolio, even though bonds represent 40% of capital, they contribute only about 10% of total risk. The 60% in stocks generates 90% of the risk! The 60/40 portfolio is therefore essentially a "disguised stock portfolio."

The All Weather corrects this imbalance by massively increasing the bond allocation. With 55% in bonds and only 30% in stocks, you get a more balanced risk contribution:

• Stocks: ~25% of total risk
• LT bonds: ~25% of total risk
• IT bonds: ~15% of total risk
• Gold + Commodities: ~35% of total risk

This approach mechanically reduces portfolio volatility, but at the cost of diluting the allocation to high-return assets (stocks).

Leverage: the hidden version

Here is something few articles mention: the real All Weather Portfolio at Bridgewater uses leverage (1.5x to 2x) to compensate for the underperformance of bonds. They borrow at low cost to amplify returns on low-volatility assets.

The retail version popularized by Tony Robbins? No leverage. It is therefore a watered-down version, structurally handicapped in terms of performance. Dalio himself acknowledged that this allocation "would not be exactly right or perfect" for the average investor.

You are being sold an institutional portfolio... without the institutional tools that make it viable. Keep that in mind when you see the performance numbers.

2.3 Practical implementation: recommended ETFs

To replicate this portfolio, here are the most commonly used ETFs:

Rebalancing frequency

The All Weather philosophy recommends annual rebalancing. More frequent = more transaction costs with no demonstrated benefit. Less frequent = progressive drift from the target allocation that can alter the risk/return profile.

3. Rigorous backtest: what the numbers actually show

Let's get to what really matters: real performance. Unlike most analyses available online that use US dollars, our backtests are calculated in Swiss francs (CHF). This difference is important because the CHF has appreciated against the dollar over this period, which mechanically penalizes the performance of USD-denominated assets.

3.1 Long-term performance (1999-2025): the 26-year test

Let's start by comparing the All Weather to classic portfolios that have a full track record since 1999:

Table 1: Performance 1999-2025 (in CHF)

Sources: 60/40, S&P 500

First brutal observation: the All Weather is the worst performer of the three.

Yes, you read that right. Over 26 years — a period that even includes part of the historic interest rate decline (supposed to favor bonds) — the All Weather returns 4.65% per year. That is less than the simple classic 60/40 (4.84%) and far below the S&P 500 (6.29%).

The Sharpe ratio doesn't save it

At 0.34, it sits slightly below the S&P 500 (0.35) and barely better than the 60/40 (0.32). For a portfolio that sacrifices so much performance in the name of risk reduction, that is frankly disappointing.

Drawdown: the only bright spot

The maximum drawdown of -26.24% is indeed much better than the S&P 500 (-65.84%) and even the 60/40 (-45.95%). It is the only criterion where the All Weather stands out positively.

But is it worth sacrificing 1.64% of annual return versus the S&P 500? Over 26 years, this difference transforms CHF 100'000 into:

• All Weather: CHF 318'000
• S&P 500: CHF 472'000

A difference of CHF 154'000. To sleep a little better during crises? Judge for yourself whether the trade-off is worth it.

3.2 Against modern alternatives (2011-2025): the humiliation

Now let's compare the All Weather against other strategies. The backtest period is somewhat shorter here due to ETF availability.

Table 2: Performance 2011-2025 (in CHF)

Sources: Boglehead 60/40 | Permanent Portfolio | PP 2.0 | PP 2.x | PFD | S&P 500

Not a single metric where the All Weather excels.

Let's go through each one. In performance, the All Weather (6.07%) is beaten by everyone except the classic Permanent Portfolio (5.98%). Even the Boglehead 60/40 does better (6.12%) with a simpler allocation. The optimized portfolios crush it: the PP 2.0 generates +3.24% more per year, the PP 2.x +4.45% and the PFD +6.12%.

In volatility, at 9.52%, the All Weather is more volatile than the Permanent Portfolio (8.05%), PP 2.0 (8.39%), PP 2.x (8.70%) and especially the PFD (6.13%). It doesn't even win on its own turf.

In Sharpe ratio, at 0.63, every other balanced portfolio does better: Permanent Portfolio (0.71), PP 2.0 (1.04), PP 2.x (1.13), and the PFD with an exceptional 1.83 — nearly 3 times better.

In drawdown, the one criterion where it holds its own. At -23.52%, that's better than the Boglehead 60/40 (-26.27%) and the S&P 500 (-33.69%). But the Permanent Portfolio (-15.22%), PP 2.0 (-16.64%) and PFD (-15.99%) all do better while posting far superior returns.

The verdict is damning: the All Weather Portfolio is the weakest portfolio in our entire comparison.

It wins on no meaningful criterion. It is beaten in performance, in Sharpe ratio, often in volatility, and sometimes even in drawdown. It is the portfolio of "barely adequate everywhere, excellent nowhere."

Note: The PFD shows a CAGR of 12.19% over 2011-2025. This figure is lower than what is cited in "Les Déterminants de la Richesse." This is because the backtests in that book extend back to the early 1970s. Historically, small companies have tended to outperform, as demonstrated by the Fama-French three-factor model. The 1970-2003 period was perfectly aligned with this trend. The past two decades, however, have been somewhat less favorable to Micro Caps, which are heavily used within the PFD — a phenomenon linked to the rise of ETFs that overweight large-cap stocks, creating a new market inefficiency that may well generate fresh opportunities for very small capitalizations in the future.

3.3 What happened during crises?

The All Weather is supposed to shine during storms. Did it deliver?

2008 (financial crisis): Respectable performance thanks to bonds surging during the flight to quality.

2020 (Covid): Fast rebound, but nothing exceptional. The S&P 500 bounced back just as quickly.

2022 (return of inflation): Catastrophe. The All Weather lost approximately -18% that year. Why? Because interest rates rose violently and the portfolio was loaded with long-term bonds extremely sensitive to that rise. The performance was even worse than the S&P 500 (-17% in CHF), even though the portfolio is specifically supposed to protect against stock market declines.

This was the year that exposed the portfolio's structural flaw: it only works in a falling-rate environment. Once rates rise, it suffers as much — or more — than everything else. Worse still, while equity markets restarted in 2023 and 2024, the All Weather remained stuck near its lows:

• 2023: 0.05% vs 14.78% in CHF for the S&P 500
• 2024: 14.87% vs 34.7% in CHF for the S&P 500

This underperformance is also reminiscent of another annus horribilis for the "All Seasons" portfolio: 2013. While it fell nearly -3% in CHF, the S&P 500 surged 28.69%.

4. Critical analysis: what you're not being told

4.1 The structural problem with bonds

Let's address the elephant in the room: 55% of the portfolio is in bonds in a world where the bond environment has radically changed.

40 years of exceptional tailwind

The best time in history to buy bonds? The early 1980s. US interest rates peaked at 15-18%. Over the following 40 years, they only fell, generating massive capital gains for long-term bond holders.

Consider what happened: in 1981, the US 10-year rate reached 15.8%; by 2020, it had fallen to 0.5%. Every rate drop generated capital gains on existing bonds. The All Weather Portfolio rode this wave throughout its years of glory. That was not genius — it was historical timing. And despite that, the results remain more than questionable.

Today: at the other end of the cycle

We are now in a configuration similar to the mid-twentieth century. In 2026, the US 10-year rate is hovering around 4-5%, with a likely outlook of further rises or stagnation. When rates rise or stagnate, bonds no longer generate capital gains. They merely provide their modest coupon. And when rates rise rapidly, as in 2022, it is a disaster.

2022: the year of reckoning

The All Weather Portfolio lost approximately -18% in 2022 — its worst year since inception. The portfolio "for all seasons" was blindsided by... a change of season. The irony is rich.

4.2 The stock/bond correlation: a practical myth

One often hears: "In 2022, the stock/bond correlation broke down — it's unprecedented!" That is a rewriting of history.

Stocks and bonds are positively correlated when rates rise. This is not a new phenomenon of the 2020s — it is structural and logical: rising rates mechanically push bond prices down, and simultaneously compress stock valuations. Result: everything falls together.

We forgot this because the 1998-2021 period was marked by a succession of crises (dot-com, 2008, Covid) fought with rate cuts. Bonds rose while stocks fell, creating the illusion of a natural and permanent decorrelation.

4.3 Commodities: seductive theory, disappointing reality

The All Weather allocates 7.5% to commodities as an inflation hedge. A fine idea on paper. But in practice?

The hidden cost of roll yield and total expense ratio

Commodity ETFs like DBC invest in futures contracts. These contracts must be "rolled" (sold before expiration and replaced by new ones) each month. This operation generates a cost called "roll yield" that can drag several percentage points per year on performance. On top of this, DBC's total expense ratio exceeds 0.89%, which is significant for a modern ETF. It is therefore unsurprising that these products structurally weigh on returns.

DBC (in red above) fell -1.59% between 2006 and 2025 in USD. Worse, since the dollar (in blue) lost 39.32% against the CHF over the same period, the total loss over nearly 20 years approached -41%.

Did commodities protect against inflation between 2020 and 2025?

Between 2020 and 2025, we experienced a marked return of inflation (5-9% depending on the country). Did commodities deliver on their promise? Yes, but gold did far better.

The yellow metal, via the GLD ETF (in yellow), gained 162.49% in USD between 2000 and 2025. Even accounting for the dollar's decline (-18.53% against CHF), that represents a gain of 143.96%, or a CAGR of close to 15%. Scaled back to a 7.5% portfolio allocation, however, gold's contribution to inflation protection remains modest: just over 1% per year.

Commodities via DBC gained 41.82% in USD over the same period. With the dollar's -18.53% decline against CHF, that represents a gain of 23.3%, or a CAGR of ~3%. At a 7.5% allocation: 0.2% per year. In other words, peanuts.

4.4 The "Tony Robbins" version vs the real Bridgewater strategy

Let's be direct: what you implement is not the real All Weather.

Bridgewater's real All Weather uses leverage (1.5x to 2x) to amplify bond returns, accesses complex derivative instruments, benefits from near-zero institutional fees and is actively managed by a dedicated team.

The retail version has no leverage (regulatorily impossible via a standard ETF), uses vanilla ETFs with their associated costs, applies pure passive management — with the structural underperformance that follows.

Dalio created a portfolio for his family and wealthy institutional clients, using tools you simply don't have. He then handed a diluted version to the general public via Tony Robbins. It's like Ferrari selling you a car without the turbocharged engine while assuring you it's "the same thing." On paper, yes. In performance, no.

4.5 Survivorship bias and retrospective optimization

The All Weather Portfolio was optimized on past data — as were all famous portfolios. And I must admit, so were the PP 2.0 and PP 2.x.

The real question is not "was it optimized?" (yes) but "is it robust out-of-sample?" The All Weather shone in-sample (1973-2010). Between 2011 and 2021, results were still acceptable — but that was simply the continuation of falling rates. The real out-of-sample test begins in 2022, when the regime changes. And that's where things unravel.

For comparison, the PFD strategies were tested both in-sample and out-of-sample with clearly pre-defined rules, then validated live on a paper portfolio before going into full service. That is a more rigorous approach than "Dalio says it works, so it works."

The classic mistake is to extrapolate 40 years of falling rates onto the next 40 years. But we are structurally in a different regime: rates that remained near 0% for years (impossible to fall further), massive public debt (upward pressure on rates), and an aging population with Baby Boomers in drawdown mode liquidating their bonds. What worked between 1980 and 2020 will probably not work between 2020 and 2060.

5. Who does this portfolio make sense for?

Despite all these criticisms, there are investor profiles for whom the All Weather could make sense.

Potentially suitable profiles

The retiree in drawdown mode

If you are 65, have a built-up capital base, and are withdrawing 3-4% per year to live on, the All Weather's low volatility can be valuable. You are not looking for maximum performance — you are trying not to lose everything during a drawdown that coincides with your withdrawals. Bear in mind, however: even for this profile, a Permanent Portfolio or a PP 2.0 could be more appropriate — better Sharpe, better drawdown, and even better returns.

The highly risk-averse investor

Are you the type who panics at the first -10%? In that case, the All Weather may help psychologically. But low volatility comes at a performance cost. Are you willing to sacrifice 2-3% of annual return to sleep soundly? And keep in mind that the PFD offers a volatility of just 6.13% (vs 9.52% for the All Weather) with a 12.19% return. The All Weather doesn't even win on the risk criterion.

Clearly unsuitable profiles

The long-term investor (>20 years)

Over the long term, stocks dominate. Every backtest confirms this. Massively diluting your equity exposure with 55% bonds is betting against economic history.

The performance-seeker

If your goal is to beat the market, the All Weather is clearly not for you. It is designed to track the different economic regimes, not to beat them. Strategies like the PFD explicitly target outperformance through quantitative approaches. Except that, as we have seen, the All Weather doesn't even achieve its low-volatility objective convincingly.

6. The real alternatives

If the All Weather disappoints you — and the data shows you are right — three alternatives emerge clearly from our backtests.

For a balanced/conservative profile

The Permanent Portfolio is the All Weather's ancestor, with a simpler and more robust approach: drawdown of just -15.22% and volatility of 8.05% (vs 9.52% for the AWP). The PP 2.0 is its optimized version with 5 ETFs: 9.31% return vs 6.07% for the All Weather, with lower volatility (8.39% vs 9.52%) and a Sharpe of 1.04 (vs 0.63).

For a more aggressive profile

The PP 2.x is the enhanced version of the PP 2.0: 10.52% return with a contained drawdown of -21.61% and a Sharpe of 1.13. The PFD offers the best risk/return ratio in our comparison: 12.19% return, just 6.13% volatility, an exceptional Sharpe of 1.83 and a drawdown of -15.99%.

What about the Boglehead 60/40?

The simple Boglehead 60/40 already beats the All Weather in performance (6.12% vs 6.07%) with a similar Sharpe ratio (0.64 vs 0.63). It is simpler to implement and cheaper in fees. If you had to choose between the two, the 60/40 is the lesser of two evils.

Conclusion

Ray Dalio's All Weather Portfolio enjoys a reputation built largely on its creator's prestige and on a historical context that will not repeat itself: 40 years of uninterrupted interest rate decline.

When you subject this portfolio to the test of the numbers — with rigorous CHF backtests and objective comparisons — the veneer cracks. Over 26 years (1999-2025), the All Weather returns 4.65% per year, less than the simple classic 60/40. Over 14 years (2011-2025), it is beaten by every modern optimized portfolio. Its Sharpe ratio of 0.63 is mediocre compared to the PP 2.0 (1.04), PP 2.x (1.13) or PFD (1.83). Its 9.52% volatility is not even exceptional: the PP 2.0 achieves 8.39% and the PFD just 6.13%. Its sole relative advantage — drawdown — is neutralized by the Permanent Portfolio (-15.22%) and the PFD (-15.99%).

The verdict is unambiguous: the All Weather Portfolio is not a portfolio for all seasons. It is a portfolio optimized for ONE season that is over: the great disinflation (1980-2020).

So what should you do?

If you are looking for a balanced portfolio with low volatility, the Permanent Portfolio or the PP 2.0 are more robust. If you are seeking performance, the PFD strategies have proven themselves with a Sharpe of 1.83, and the PP 2.x offers an excellent performance/risk trade-off. A 100% equity portfolio remains an option if you are prepared to handle it — but beware: you often discover your true risk tolerance only when it's already too late.

The All Weather? A fine theory. Masterful marketing. Results that don't live up to their promises. Ray Dalio created a brilliant portfolio for its era. But that era is over. The numbers are clear: in 2026, there are far better options for building a resilient and high-performing portfolio.

Judge for yourself — with the numbers.

Methodological note: All backtests are calculated in Swiss francs (CHF) with dividend reinvestment. Data covers the period 1999-2025 for Table 1 and 2011-2025 for Table 2. Past performance is not indicative of future results.

Frequently asked questions

What is the main weakness of the All Weather Portfolio?

Its structural dependence on a falling interest rate environment. With 55% in bonds, this portfolio was designed — implicitly or not — for a world of great disinflation (1980-2020). In 2022, when rates rose sharply, it lost approximately -18%: worse than the S&P 500 that year, even though it is specifically supposed to protect in that type of environment.

Is Bridgewater's real All Weather different from the retail version?

Yes, fundamentally. Bridgewater's institutional version uses leverage (1.5x to 2x) to compensate for low bond volatility and amplify returns. Without this leverage — impossible to replicate via standard ETFs for a retail investor — the retail version is structurally underperforming relative to the original. It is a watered-down version sold as equivalent, which it is not.

Which alternatives to the All Weather Portfolio offer a better risk/return ratio?

Several portfolios outperform the All Weather on every metric according to our CHF backtests (2011-2025). For a conservative profile, the PP 2.0 posts a 9.31% CAGR with 8.39% volatility and a Sharpe of 1.04. For a more dynamic profile, the PFD achieves 12.19% CAGR with just 6.13% volatility and an exceptional Sharpe of 1.83 — while limiting drawdown to -15.99%. Both portfolios beat the All Weather on every metric.

Sources and data

• Ray Dalio, Bridgewater Associates — bridgewater.com
• Tony Robbins, Money: Master the Game (2014) — original description of the retail All Weather Portfolio
• Invesco — DBC ETF product page (commodities, TER 0.89%)
• US historical interest rate data — Federal Reserve Bank of St. Louis (FRED): fred.stlouisfed.org
• Fama, E. F., & French, K. R. (1993) — three-factor model (historical small-cap outperformance)