A subscriber requested a test of Ray Dalio's All Weather (AW) portfolio with different rebalancing frequencies, allocated to exchange-traded funds (ETF) as asset class proxies as follows:
30% - Vanguard Total Stock Market (VTI)
40% - iShares 20+ Year Treasury (TLT)
15% - iShares 7-10 Year Treasury (IEF)
7.5% - SPDR Gold Shares (GLD)
7.5% - Invesco DB Commodity Tracking (DBC)
To investigate, we test:
- AW portfolios rebalanced monthly (AW-1), quarterly (AW-3), semiannually at the ends of June and December (AW-6) or annually at the end of December (AW-12).
- As a benchmark, a 60%-40% VTI-TLT portfolio rebalanced annually (60/40-12).
- For comparison, the Simple Asset Class ETF Momentum Strategy equally weighted Top 2 portfolio (SACEMS EW Top 2), the Simple Asset Class ETF Value Strategy (SACEVS) Best Value portfolio and a 50%-50% combination of these two portfolios (SACEVS-SACEMS 50-50).
We consider the following gross performance metrics, all based on monthly measurements: average monthly return, standard deviation of monthly returns, compound annual growth rate (CAGR), maximum drawdown (MaxDD) and Sharpe ratio (with the 3-month Treasury bill yield as the risk-free rate). We also compare number of rebalance actions for each portfolio. Using monthly dividend-adjusted returns for the specified assets during February 2006 (limited by DBC) through January 2026, we find that:
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