The headline numbers
From April 2008 to February 2026, just under eighteen years, the All-Weather portfolio returned 4.76% a year. A 60/40 returned 6.56%. Global equities returned 8.30%.
| Portfolio | Annual return | Volatility | Worst drawdown | $10,000 became |
|---|---|---|---|---|
| All-Weather (Dalio) | 4.76% | 7.87% | −20.8% | $22,992 |
| 60/40 | 6.56% | 10.43% | −31.1% | $31,192 |
| 100% global equities | 8.30% | 16.79% | −51.7% | $41,759 |
April 2008 – February 2026, 215 months, annual rebalancing, no fees or taxes modelled. Drawdown is worst peak-to-trough on month-end values.
If you came here to find out whether All-Weather beat a conventional portfolio, the answer is no, and it is not close. Eighteen years of compounding left it about $8,000 behind a 60/40 on a $10,000 stake, and about $19,000 behind an all-equity portfolio.
That is the honest headline, and most write-ups of this portfolio never get round to printing it. But it is also close to meaningless on its own, because return was never what the design was optimising for.
What it was actually built to do
Dalio’s premise is that a conventional portfolio is not balanced at all. A 60/40 holds 60% of its capital in equities, but because equities are roughly three times as volatile as bonds, something like 90% of its risk sits in that one position. It is an equity portfolio with a bond-shaped comfort blanket.
All-Weather balances exposure across economic environments instead: rising growth, falling growth, rising inflation, falling inflation. The version we test holds 30% global equities, 15% US Treasuries, 15% global government bonds, 15% TIPS, 7.5% gold, 7.5% commodities and 10% cash.
Judged against that objective rather than against a return target, the record is rather good.
The crisis it was designed for
All three portfolios entered their worst drawdown in May 2008 and bottomed in February 2009. What happened next is the entire argument.
| Portfolio | Peak-to-trough | Fully recovered | Time under water |
|---|---|---|---|
| All-Weather (Dalio) | −20.8% | November 2009 | 9 months |
| 60/40 | −31.1% | October 2010 | 20 months |
| 100% global equities | −51.7% | January 2013 | 47 months |
Recovery measured from the February 2009 trough to the month the portfolio regained its previous peak.
All-Weather lost a fifth of its value and was whole again inside a year. The all-equity portfolio lost more than half and spent nearly four years climbing back. On rolling twelve-month windows the worst stretch All-Weather ever suffered was −16.2%, against −24.4% for the 60/40 and −42.6% for equities.
The best twelve months tell the same story from the other side: All-Weather gained 24.2% at its strongest, against 60.1% for equities. It gives up the spectacular recoveries as well as the collapses. Both extremes are the same design decision.
Why this particular period flatters the alternatives
One important caveat, and it cuts against our own headline table. April 2008 to February 2026 contains the financial crisis and then one of the strongest equity bull markets in history, alongside a difficult stretch for bonds and a mediocre one for commodities.
In other words, this is close to a best case for equity-heavy portfolios and a near-worst case for a design that deliberately spreads risk away from equities. All-Weather did not underperform because the idea failed. It underperformed because the environment it protects against — sustained equity weakness — largely did not arrive after 2009.
Any backtest is a description of one path through history. That is the reason we do not build portfolios from them.
What forward-looking assumptions say
Instead of extrapolating the past, our optimizer runs on published capital market assumptions — estimates of what each asset class should return from today’s starting point. On those numbers the picture changes considerably.
| Portfolio | Expected return | Expected volatility | Sharpe ratio |
|---|---|---|---|
| All-Weather (Dalio) | 5.06% | 7.41% | 0.26 |
| 60/40 | 5.95% | 10.63% | 0.27 |
| 100% global equities | 7.00% | 16.78% | 0.23 |
J.P. Morgan 2026 Long-Term Capital Market Assumptions, annualised, Sharpe against a 3.1% risk-free rate. Forward-looking estimates, not forecasts of any particular year.
The eighteen-year gap of 1.8 percentage points a year narrows to under one point. On risk-adjusted terms, All-Weather and the 60/40 are effectively indistinguishable at 0.26 against 0.27, and both are ahead of an all-equity portfolio, which now looks like the weakest of the three per unit of risk rather than the obvious winner.
Note also that All-Weather’s realised 4.76% came in below the 5.06% it would be expected to deliver, while equities delivered 8.30% against an expectation of 7.00%. That is the shape of a period that was kind to equities and unkind to diversifiers — and it is exactly the kind of gap that reverses without warning.
So should you hold it?
The useful question is not whether All-Weather is better, but which of these three you would actually still own in March 2009.
If you are decades from needing the money and genuinely unmoved by a 50% decline, the historical record says the equity portfolio wins and All-Weather costs you meaningfully. If you are drawing an income, or you know from experience that you sell when things get frightening, the drawdown column matters far more than the return column, and All-Weather has an unusually strong claim.
Most people are somewhere between those poles, which is roughly where the 60/40 sits. None of this makes any of the three wrong. It makes them different answers to a question you have to ask yourself honestly first.
Methodology
Monthly total returns from April 2008 to February 2026, the longest window over which every asset class in all three portfolios has continuous data. Annual rebalancing, no management fee, no transaction costs and no tax. Volatility is the standard deviation of monthly returns annualised; drawdowns are peak-to-trough on month-end values, so intra-month lows were deeper than shown. Forward-looking figures use J.P. Morgan’s 2026 Long-Term Capital Market Assumptions, detailed on our methodology page. Past performance is a record of one sequence of events and not a guide to future returns; nothing here is personal financial advice.