The Test Bench › famous_system
Does All Weather (Ray Dalio) actually work?
MYTHA famous idea that does not survive an honest test.
The claim
An allocation that makes money in any economy (30% stocks, 55% bonds, 15% gold/commodities) — Ray Dalio / Bridgewater
What we did
Tested against Buy & hold SPY / honest reconstruction.
The result
Result: +6.5%/yr, Sharpe 0.78, maxDD -23%, 2008 -2% (held) but 2022 -18% (failed)
+6.5%/yr, Sharpe 0.78, maxDD -23%, 2008 -2% (held) but 2022 -18% (failed)
Verdict
The deep history splits the verdict cleanly: All Weather HELD in the 2008 deflationary crash (-2%, its long bonds rallied as rates fell) but FAILED in the 2022 inflation shock (-18%, as much as stocks -- bonds fell WITH them). It's all-weather except the one weather, inflation, that the 1970s and 2022 are made of. The 'any economy' claim is half-true at best.
What the test did and did not do
- net of real costs
- tested out of sample
- point-in-time data
- checked for look-ahead
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.