All-Weather (Dalio) vs Permanent Portfolio (Browne)
These are the two best-known attempts to build a portfolio that does not depend on knowing what happens next. Ray Dalio's All-Weather spreads risk across growth and inflation outcomes using a large long-duration bond position. Harry Browne's Permanent Portfolio splits evenly between stocks, long bonds, gold and cash, one quarter for each of prosperity, deflation, inflation and recession. They arrive at similar places by different reasoning.
Once both are set to the same 7.4% volatility, there is nothing between them: All-Weather (Dalio) returns 5.06% against Permanent Portfolio (Browne)'s 5.07%. On these assumptions the choice between them is a matter of what you can hold through, not expected return.
These two views disagree: the forward-looking assumptions put them level, while the record since September 2000 favours Permanent Portfolio (Browne). That is worth more than either number on its own. The historical figure is one path through one set of decades, and this window contains two equity bear markets and a long gold bull run. The forward-looking figure starts from today's valuations and yields, which is the situation you are actually investing from.
Side by side
| At its own risk level | All-Weather (Dalio) | Permanent Portfolio (Browne) |
|---|---|---|
| Expected return | 5.06% | 4.90% |
| Volatility | 7.41% | 6.54% |
| Sharpe ratio | 0.26 | 0.28 |
Forward-looking estimates over a long horizon, not a measurement of any past period. Built from J.P. Morgan’s 2026 Long-Term Capital Market Assumptions, annualised and compounded, with a 3.10% risk-free rate.
The same comparison at matched risk
The table above compares two portfolios that take different amounts of risk, so part of any gap is just that. Below, the quieter portfolio is levered until both sit at 7.41% volatility. Exposure above one hundred percent is financed at cash plus 0.50 percentage points; anything under it earns the cash rate.
| Both at 7.41% volatility | Exposure | Expected return |
|---|---|---|
| All-Weather (Dalio) | 100% | 5.06% |
| Permanent Portfolio (Browne) | 113% | 5.07% |
Leverage is applied to the whole portfolio and assumes it can be financed at the stated rate, which is closer to true for a futures-based implementation than for a margin account. It does not model the path, and a levered portfolio can be forced to sell at exactly the wrong moment.
What actually happened
Everything above is an expectation. This is the record. The window starts in September 2000 because that is the first month in which every asset class in both portfolios has data, and it runs to July 2026, which is 311 months. It is not a chosen period; a pair holding private equity or inflation-linked bonds simply cannot start earlier than those markets can be measured.
| September 2000 to July 2026 | All-Weather (Dalio) | Permanent Portfolio (Browne) |
|---|---|---|
| Annualised return | 5.30% | 6.32% |
| Volatility | 6.69% | 5.95% |
| Sharpe ratio | 0.33 | 0.54 |
| Worst drawdown | -20.31% | -9.59% |
Rebalanced annually, with no fees or trading costs applied, so the figures compare the allocations rather than an implementation of them. Series are index and fund total returns, extended backwards before each ETF existed by the longer-running instrument tracking the same exposure.
The record at matched risk
| Both at 6.69% volatility | Exposure | Annualised return |
|---|---|---|
| All-Weather (Dalio) | 100% | 5.30% |
| Permanent Portfolio (Browne) | 112% | 6.63% |
One window is one path. A record covering 26 years contains a particular sequence of regimes, and a portfolio that happened to hold the right asset through them will look better than it deserves. Read this next to the forward-looking figures rather than instead of them. Borrowing is charged at the cash rate plus 0.50 percentage points, the same terms as the forward-looking table.
What each one holds
| Asset class | All-Weather (Dalio) | Permanent Portfolio (Browne) |
|---|---|---|
| AC World Equity | 30% | 25% |
| US Intermediate Treasuries | 15% | 25% |
| Gold | 7.5% | 25% |
| Cash / Money Market | 10% | 25% |
| World Govt Bonds | 15% | — |
| TIPS | 15% | — |
| Commodities (Broad) | 7.5% | — |
Where they actually differ
The Permanent Portfolio holds a quarter of the portfolio in cash and a quarter in gold. That is an enormous allocation to two assets that produce no earnings, and it is the single biggest structural difference between the two.
All-Weather puts that capital into inflation-linked and nominal government bonds instead, and holds a smaller commodity and gold sleeve. It expects to be compensated for duration risk where the Permanent Portfolio simply steps out of the market.
Neither is a risk parity portfolio in the strict sense. Both are fixed-weight approximations of one, which is why their risk contributions are nowhere near equal even though the headline weights look balanced.
Why the matched-risk comparison matters here
Both portfolios are deliberately low volatility, so comparing their raw expected returns against an equity-heavy allocation tells you almost nothing. It measures how much risk each one took, not how efficiently it used it.
Levering the lower-risk portfolio up to the other's volatility removes that distortion. What survives is the part that matters: which allocation converts a unit of risk into more return.
Frequently asked questions
Is the All-Weather portfolio better than the Permanent Portfolio?
On forward-looking capital market assumptions the two are close enough that the difference is inside the margin of error of the assumptions themselves. The practical question is which one you can actually hold through a bad stretch, since the Permanent Portfolio's quarter in cash behaves very differently from All-Weather's long-duration bonds when rates move.
Why does the Permanent Portfolio hold so much cash?
Harry Browne assigned one quarter of the portfolio to each of four economic conditions, and cash is the asset that holds up in a recession when both stocks and commodities fall. It is a deliberate insurance premium rather than an attempt to time markets.
Are these forward-looking numbers or a backtest?
Forward-looking. They come from published capital market assumptions for the underlying asset classes rather than historical returns, because several of the holdings in these portfolios have no long history to backtest against.