Why I Don’t Hold the All Seasons Portfolio

Why I Don’t Hold the All Seasons Portfolio

The All Seasons Portfolio reports amazing statistics about its returns.  I’d never heard of the All Seasons Portfolio, so had to check it out.  As I’ll discuss in more detail, it is an asset allocation strategy with more than 50% of the portfolio allocated to US government bonds.  In this current environment of low interest rates, one of my followers asked my opinion of the portfolio as an investment strategy for the near future.  The answer is, as is almost always the case, it depends.  However, after studying the portfolio and relevant data, I won’t be aligning my portfolio with the All Seasons Portfolio.

In this post, I’ll define the All Season Portfolio, talk about when each of the components of the portfolio is expected to perform well and provide a wide variety of statistics regarding its historical performance.  I’ll also talk about the need to re-balance assets to stay aligned with the portfolio and the impact of income taxes on your investment returns.  I’ll close with how I’ve changed my portfolio based on this analysis.

All Seasons Portfolio

Ray Dalio is an extremely successful hedge fund manager.  If you have more than $5 billion in investable assets, he might consider accepting you as a client.  His fund is famous for the All Weather investment strategy.  According to Tony Robbins, in his book MONEY Master the Game, the annual returns on the All Weather portfolio exceed 21%![1]

Composition of Portfolio

In an interview with Robbins, Dalio described a much simpler version of the All Weather portfolio for the rest of us.  This asset allocation is called the All Seasons portfolio.  The allocation in the All Season portfolio[2] is:

  • 40% in Long-Term US Bonds (20+ years), using the iShares Barclays 20+ Year Treasury Bond fund (ticker symbol TLT)
  • 15% in Intermediate US Bonds (7-10 years), using the iShares Barclays 7-10 Year Treasury Bond fund (ticker symbol IEF)
  • 7.5% in Gold, using the SPDR Gold Trust (ticker symbol GLD)
  • 7.5% in Commodities, using the PowerShares DB Commodity Index Tracking fund (ticker symbol DBC)
  • 30% in the S&P 500

This allocation is illustrated in the pie chart below.

All Seasons portfolio Asset Allocation

Economic Indicators

The portfolio’s name, All Seasons, refers not to the four seasons of the calendar year but to four indicators of the economic cycle.  These four indicators are:

  1. Higher than expected growth (often measured using gross domestic product or GDP)
  2. Lower than expected growth
  3. Higher than expected inflation (often measured using the consumer price index or CPI)
  4. Lower than expected inflation

I note that there is overlap between the first pair of characteristics and the second pair.  That is, a period of higher than expected growth can have either higher or lower than expected inflation.

The chart below shows which of the five components of the portfolio are expected to perform well in each part of the economic cycle, according to Robbins.[3]







FallingTreasury Bonds

Treasury Bonds


Historical Performance

According to Robbins[4], the All Seasons portfolio had a compounded annual average return of 9.7%, net of fees, from 1984 to 2013.  By comparison, I calculate the corresponding value for the S&P 500 to be 8.4%.  In addition, the All Seasons portfolio had much lower volatility, with a standard deviation of 7.6%, as compared to the S&P 500 which had a standard deviation of 17%.  So, at first glance, the All Seasons portfolio seems to be a terrific option – higher return for lower risk.

My Estimate of Returns

There are many challenges to calculating the returns on the All Seasons portfolio.[5]  I made many assumptions to better understand the returns, so do not consider the statistics I’ve calculated as accurate, but I think they are close enough to be informative.

The chart below shows the annual returns on the S&P 500 and my approximation of the returns on the All Seasons portfolio from 1963 to 2019.

Annual returns on S&P 500 and All Seasons portfolio

From this graph, it appears that the biggest benefit of the All Seasons portfolio is that the non-S&P 500 asset classes diversify away a substantial portion of the significant negative returns on the S&P 500.  For example, in the three years in which the S&P 500 had returns worse than -20%, I approximated that the All Seasons portfolio lost an average of only 0.1%!

Returns by Asset Class

I wasn’t able to get a long enough history of Commodity price data, but was able to calculate the average return on the three other asset classes during those same years (1974, 2002 & 2008), as shown in the table below.

Asset ClassAverage Return in Years when S&P 500 Return was < -20%
S&P 500-30.5%
7-10 Year US Treasury Bonds8.0%
20 Year US Treasury Bonds15.2%

As can be seen, all three asset classes had positive returns in those three years, with Gold having the most significant increase.

My Investing Goals

I retired a little over two years ago, so have changed my investing goals to make sure I can meet my cash needs as I don’t have any earned income to cover my expenses.  Specifically, now that I’ve switched from the accumulation phase to the spending phase, I have less tolerance for volatility.

Goals While Accumulating

While I was accumulating assets, I wanted my invested asset portfolio to produce returns that were at least as high as the overall market.  I use the S&P 500 as my metric for market performance.  During that time, I was quite willing to tolerate the ups and downs of the market because I was diversifying my risk over time.  As a confirmation of my risk tolerance, I point out that I did not sell any assets during any of the market “crashes.”

My first market crash was October 19, 1987.  I can still remember being in the office that day.  The internet was not available to the general public, so our news came from TV and radio.  One of the senior people in the office had a TV in his office, though I suspect it had just the over-the-air channels as very few people had cable TV then either.  He told everyone what was happening in the market.  I asked him whether he was going to move his 401(k) money out of the market into a safer fund.  His advice was that it was already too late and that I should just hang on for the ride.  That was one of the best pieces of investing advice I’ve ever gotten.  I didn’t sell during that crash and haven’t sold during any of the crashes since.

Goals While Retired

Now that I’m retired, I am drawing down my assets.  I’ve made two changes to my asset mix to reflect the fact that I now need to spend my assets rather than add to them.

  1. Instead of having a six-month emergency fund in cash, I now have several years of expenses in cash.
  2. I’ve added a few individual corporate bonds (to be clear, not a bond fund) that mature in 3 to 5 years to my portfolio. When these bonds mature, they will add to my cash balance to cover my expenses in those years.

For the rest of my invested asset portfolio, I’ve maintained the same goal – meet or beat the S&P 500.

By having several years of expenses in cash, I know I won’t have to sell any assets during any market turmoil, such as we are experiencing now.  As discussed in my post on reacting to the most recent crash, the market has historically recovered in less than five years (excluding the crash of 1929) and has higher than average returns during the recovery phase.  As such, I don’t want to have to sell stocks when markets are down.

How I Evaluate the All Seasons Portfolio

As I said, my goal is to earn a return close to or higher than the return on the S&P 500.  I would be willing to take a small reduction in return for less risk, but not much given the other aspects of my strategy.  Therefore, I will look at the components of the All Seasons portfolio relative to what I can earn if I just invest in the S&P 500.

In particular, I am interested to see how these asset classes perform when interest rates are low, as they currently are.


Returns on bonds (unless held to maturity) and bond funds have the following characteristics:

  • The total return is equal to the interest rate on the bond plus the change in market value from changes in interest rate levels.
  • Returns are higher when interest rates are high or are going down.
  • The total return is similar to the interest rate itself when interest rates stay fairly stable.
  • Returns are lower when interest rates are low or are increasing.

Bond Returns vs. Interest Rate Changes

This relationship can be seen in the chart below which compares the change in the 10-year US Treasury bond interest rate (yield) with the change in the market value of iShares Barclays 7-10 Year Treasury Bond fund (ticker symbol IEF) in each year from 2003 through 2019.

Change in Price goes down when yield on 10-Year Treasury goes up

What Can Happen from Here

We are currently in the last situation listed above.  Interest rates are currently quite low by historical standards.  The chart below which shows the yield on the 10-year US Treasury bond from 1962 to 2020.  The last point on the chart is the interest rate on July 8, 2020 of 0.65%.  It is lower than the interest rate at the end of any year since 1962.

10-Year Treasury Rate from 1962 to 2019 with single major peak in 1981

For all intents and purposes, interest rates can do one of two things from their current levels – stay about the same or go up.  If they stay the same, the return on bonds funds will be about the same as the interest rate on the bonds – currently less than 1% for 10-Year US Treasury bonds and less than 1.5% for 30-Year US Treasury bonds.  If interest rates go up, the market value of the bonds will go down and returns will be even lower.

As such, I don’t believe the returns on bonds or bond funds in the near term will be high enough to be consistent with my investing objectives.  I will continue to buy individual corporate bonds that mature in the next few years to ensure that I have cash available to meet my expenses.  But, I do not plan to add any bond funds to the investment portion of my portfolio.   If I were younger and the time until I needed to draw down my investments to cover my expenses was longer, I wouldn’t invest in bonds at all in the current environment.


I am particularly interested in how gold has behaved, as it isn’t something I’ve studied much.  For the current environment, I’m interested in how gold behaves when interest rates are flat or rising.  The chart below shows how I defined historical periods as having interest rates that are either flat or rising.

10-Year Treasury Interest Rate rose from 1962-1967 and 1977-1980 and was flat from 1968-1977, 2004-2007 and 2013-2018

The line is the same line shown in the 10-Year Treasury Interest Rate chart above.  I have shaded periods in which interest rates have been relatively stable in blue.  The time periods in which interest rates have increased are highlighted in green.

The chart below has the same time periods shaded as the previous chart, but the blue line shows the percentage change in the price of gold between 1971 (when the price of gold was no longer set by the US government) and today[6][7].

Gold prices increased in most years in which interest rates were flat or rising

Looking back to the 1970s, gold prices were generally up quite significantly when interest rates were either relatively flat and when they increased.  While the increases in price were not as large in the period from 2003 to 2006, another time period when interest rates were flat, as in the 1970s, annual price increases were still generally in the 10% to 30% range, much higher than would be expected on the S&P 500.  Only in the most recent flat period are changes in gold prices not as consistently high.

Gold Funds

Buying gold means that you have to find a way to take delivery of it or pay to have it stored.  One article about the All Seasons fund suggested investing in SPDR Gold Shares[8] (ticker symbol GLD) which is an exchange-traded fund (ETF) physically backed by gold.  I compared the changes in prices of this ETF with the changes in the price of gold.  Although they generally track each other, as shown in the chart below, they are not a perfect match.  Nonetheless, this ETF appears to be a much easier alternative for investing in gold than buying gold itself.

very close match between gold and GLD ETF price changes from 2005 to 2019


I wasn’t able to get a long history of returns on commodities, but the table I provide earlier from Robbins’ book indicates that they are expected to behave in a manner similar to gold.

Overall Portfolio Evaluation

The chart below summarizes the annual average returns (on a compounded basis) for each of the asset classes for which I could approximate returns from 1963 to 2019[9].

Average returns from 1962-2019 on S&P 500 (7%), Gold (7%), 7-10 Year Treasuries (3%), 20-Year Treasuries (4%) and All Seasons Portfolio (6%)

Over this time period, it appears that Gold has had returns similar to that of the S&P 500, but the returns on US Treasuries have dragged down my estimate of the returns on the All Seasons portfolio.

I am particularly interested in how these asset classes perform when interest rates are either flat or increasing.  The chart below illustrates these returns using the same approximations as above.

Average annual returns when interest rates were rising and flat

In average in both rising and flat interest rate environments, gold has historical outperformed the S&P 500.  By comparison. both categories of bonds have underperformed and, in fact, have had average returns during those periods of roughly 0%.


The performance metrics reported by Robbins and others assume that you maintain the target mix in each asset class.  To accomplish that, you need re-balance regularly. That is, you need to to sell asset classes that have appreciated the most (or depreciated the least) and buy asset classes that have not performed as well.

What is Re-Balancing

Let’s look at an example.  At the beginning of a year, you invest $10,000 using the All Seasons portfolio.  Your portfolio looks like this:

Allocation of $10,000 using All Seasons portfolio

If your one-year returns were similar to those in 2019, your end of year asset allocation (light green) would not be the same as your target (dark green), as shown in the graph below.

End of year results compared to target for 2019 under the All Seasons portfolio

To reach the target allocation, you would need to make the following changes.

GoldSell $44
CommoditiesBuy $28
StocksSell $451
Medium Term BondsBuy $399
Long Term BondsBuy $67

To attain the high returns reported by Robbins, I suspect you need to re-balance the portfolio fairly often.  In my calculations, I assumed annual re-balancing on the first of each year.  How often you re-balance the portfolio depends on your personal preference, but should generally be more often when the prices of one or more of the asset classes is changing rapidly and no less often than annually.

Impact of Income Taxes

It is better to own portfolios you need to re-balance regularly in a tax-free or tax-deferred account.  Otherwise, you will need to pay income taxes on the net of your capital gains and capital losses.  401(k)s and IRAs are the most common tax-free and tax-deferred accounts in the US.  The Canadian counterparts are TFSAs and RRSPs.

Continuing the example above, you sell $44 of gold and $451 of stocks for a total of $495.  Without going into the details of the calculation, your cost basis for these two sales combined is $387, for a realized capital gain of $108.  Many Americans have a 10% tax rate on capital gains which corresponds to $11 on the capital gain of $108.  These taxes reduce your total return by 0.1 percentage point.  That might not sound like much, but it can add up.  If you make a $10,000 investment in this portfolio and taxes reduce your return from 10.0% to 9.9%, you will have $5,000 less after 30 years.  That’s half of the amount of your initial investment!

Changes I’ll Make to My Portfolio

The analysis presented in this post has refined my thinking about my portfolio in two ways.

First, I have confirmed my past thinking that I can maintain a substantial cash position, supplemented by some individual bonds held to maturity, as a hedge against the risk that the stock market will have a significant downturn.  Although holding several years of expenses in cash lowers the return on my total assets, I find it a much easier and less risky strategy than introducing bond funds into my portfolio.  That is, although the return on money market funds where I hold my cash is low, it isn’t much lower than the current returns on US treasury or even high-quality corporate bonds.  With the significant potential that the market price of bonds will go down, I am more comfortable with my cash position.

Second, I have invested in the SPDR Gold Trust (ticker symbol GLD).  I don’t plan to immediately move as much as the 7.5% of my portfolio into gold as suggested by the All Seasons portfolio (15% if I use gold as a substitute for commodities, too).   Rather, I plan to initially invest 1% to 2% of my portfolio in gold and add to that position as I gain more comfort and experience investing in it.


[1] Robbins, Tony, MONEY Master the Game, Simon & Schuster Paperbacks, 2014, p. 391-392.

[2] “Robbins’ All-Seasons Portfolio.” TuringTrader.com, https://www.turingtrader.com/robbins-all-seasons/.  Accessed July 5, 2020.

[3] Robbins, op. cit., p. 390

[4] Robbins, op. cit., p. 395.

[5] There are many components of the calculation of returns, including assumptions regarding frequency of reinvestment and fees and the choice sources of data used to calculate the returns of the components of the portfolio.  As such, I am not able to replicate his calculations.  In fact, I found another source for returns on the All Seasons portfolio that, in the single year for which details were provided both sources, shows a return that was 3 percentage points higher than reported by Robbins.

[6] “Historical Gold Prices.” CMI Gold & Silver, Inc, https://onlygold.com/gold-prices/historical-gold-prices/, Accessed July 7, 2020.

[7] “Gold Prices.” World Gold Council, https://www.gold.org/goldhub/data/gold-prices, Accessed July 8, 2020

[8] “Bringing the gold market to investors.” State Street Global Advisors, https://www.spdrgoldshares.com/.  Accessed July 8, 2020.

[9] As indicated above, the returns I calculated for the All Seasons portfolio are not as high as were calculated by Robbins.

19 thoughts on “Why I Don’t Hold the All Seasons Portfolio”

  • Hi Susie – great overview and assessment of this portfolio! I’d heard of it before but never really looked into to. At a glance (and from memory), it looks similar to the Swenson portfolio, but with less international exposure.

    As you said, with bond yields where they are today, I’m not interested in mid or long term bonds. There’s really only one direction interest rates can go—up (unless we actually go negative yield in the US). I’ve actually been selling off my holdings in longer term bond funds and taking some decent profits recently as interest rates have rapidly declined.

    • AI – I agree with your strategy of thinning out positions in bond funds. I’ve bought some short term (3-5) year bonds that I plan to hold to maturity, but that is to reduce volatility as I’m drawing down my portfolio. If I had 20 years until I retired, I wouldn’t choose to be in bonds at all.

      I haven’t heard of the Swensen portfolio. You are right that it has more international exposure. It also has much less in bonds (30% – still more than I like right now) and replaces gold and commodities with REITs. I had one bad experience with REITs in the 80s when I was young and and naive and haven’t been near them since. I’m sure there are some that are successful, but it isn’t an area in which I have enough expertise to invest again.

  • Thanks, Susie, for the explanation of this portfolio that is new to me. I especially enjoyed the overview of commodities and gold as neither of these had occurred to me as a place to invest due to my lack of knowledge and my assumption that these are highly volatile.

    • Kay – I hadn’t heard of it either. One of my former colleagues brought it to my attention asking if he was correct in having concerns about bonds. Obviously I agree with him.

      I’ve never invested in gold or commodities before either, other than the farm we own. With that exposure, I decided to add only gold to my investment portfolio. We had a very wealthy friend who believed that you should hold something like 10% of your portfolio in gold and, if I understood right, actually had gold in a safe in his basement. I’m sticking with the gold ETF for now.

  • Great write up! Definitely don’t think a heavy bond portfolio holds up well in current interest rate environments but it’s interesting to look at different portfolios

    • Thanks, Willionaire. I enjoyed studying this portfolio and getting into the details of how bonds and bond funds perform in different environments. In the early 1980s, when I was first investing, it was a totally different environment and bonds provided amazing returns.

  • Thanks for writing such a thoroughly researched and well thought out post! It is great to see that you are interested in researching different portfolio types and willingness to potentially adjust your strategy.

    I think, as you said at the beginning, deciding on portfolios is one big “it depends” based on a series of personal decisions. My dad and grandfather have been encouraging me to start investing in gold as a hedge against economic uncertainty… so it’s interesting to see people’s ideal portfolio change in real-time due to market uncertainty/fluctuations.

    • You’re welcome. I’ve always held the belief that you shouldn’t invest in anything you don’t understand. Having not looked at gold before and definitely not wanting to own physical gold, I’d avoided it for all these years. Now that I’m retired, done the research and identified gold as a hedge against the market, I was quite interested to learn about the GLD ETF.

  • Thanks for the excellent post. I am also considering a small allocation to gold. I see the info from chart that average return of gold when S&P 500 lost >20% is over 33% which is very useful info.. would it be possible to also add average return of gold when S&P return was in different ranges like between 0-20% loss as well as 0-10% gain, >10% gain etc.?

    • Harry –

      Very interesting question. Over the same time period, I calculate the following returns:

      When the S&P 500 had a loss between 0% and 20%, gold averaged +4.4%
      When the S&P 500 had a gain between 0% and 10%, gold averaged -18.6%.
      When the S&P 500 had a gain of more than 10%, gold averaged +8.4%.

      The negative return on gold when the S&P 500 had a small positive return isn’t surprising, as my analysis found that gold and the S&P 500 were negatively correlated.

      Let me know if you have other questions.

      Susie Q

  • Very interested analysis. Thank you.
    Have you looked at RPAR ETF? It is also a risk parity/all seasons portfolio with a bit more sophistication than the one you analyzed. The management used to work for Dalio, thus the similarities to his portfolio. I wonder if you could take a look. They own significant amount of bonds but using TIPS and LT treasuries, and do some adjustments when the 10 year treasuries are <1%.
    Please see the ETF's excellent 3rd quarter report. https://rparetf.com/quarterly-reviews/R … w-3Q20.pdf
    If you need more details, I have done some work and I can send it to you.
    BTW, I am also retired

    • Erwin –

      I’m not familiar with the RPAR ETF. I’ll take a look and provide my thoughts in a few days. (Pretty busy around here with the holidays coming up!)

      Thanks for taking the time to read my post and, especially, to add your insights.

      Susie Q

    • The addition of TIPs is really interesting, as it acts as a bit of a hedge against rising interest rates assuming they occur at the same time as rising inflation. The inception to date performance benefits from the same thing as the All Seasons portfolio because interest rates deceased in the past year. I don’t see them going down much further, so wouldn’t be thrilled with the 40%+ allocation to bonds. TIPs are something I’ve thought about researching further for my portfolio.

      Thanks for bringing this portfolio to my attention. I’m always interested in seeing new things.

  • I read your insights regarding the portfolio charts (golden butterfly). I similarly have concerns about bond funds and feel I want bond exposure as a hedge to equities. I struggle with holding too much cash instead but don’t want the bond returns to fall which is likely. I admit I don’t understand why bond returns for bond funds should drop if interest rate rises…seems like if coupon rate increases by 10%, the bond price would drop by 10%, making it a wash if the bond funds sells the old and buys the new. Do you know how to buy a “basket of bonds” (for diversification) that would be held to maturity? Holding the basket of bonds to maturity would be like a bond fund but without the risk of bond returns falling if interest rates rise.

    • Mike –

      You ask a lot of great questions. I’ll start simply with individual bonds and then will broaden my explanation to bond funds.

      Let’s say you own a bond that has a 3% coupon, a par value of $100, a term of 3 years and it has a market price today of $100. The market price equaling the par value means that the interest rate implicit in the price is the coupon rate of 3%. The price of a bond is calculated as the present value of the future cash flows (12 quarterly payments of $0.75 = 3% of $100/4 payments per year plus the $100 in three years). If the interest rate underlying the price of this bond increased to 10%, the present value decreases from $100 to $82. $82 becomes the market price. However, if you hold the bond to maturity, you still get the same 12 quarterly payments of $0.75 plus the $100 in three years, so your financial situation is unaffected by the changes in the market price.

      The issue with bond funds is that the price of the bond fund is the aggregation of the market prices of the bonds they hold. If you ever need to get your money out of the bond fund or you are just calculating your net worth, the value of the bond fund will change every day based on the changes in the market prices of the bonds it holds.

      The bond fund can buy bonds that are priced based on the 10% current interest rate, but would need to sell the bonds it bought at 3% to do so. A bond with a $100 par value maturing in three years with a 3% interest rate will have a much lower market price than the same bond with a 10% interest rate. If the bond fund wants to exchange its 3% bonds for 10% bonds, it can’t buy as many. So, while the bond fund will benefit from the higher coupon payments, it will have fewer of them because of the smaller count of bonds it owns.

      My strategy is to buy small positions in a lot of individual bonds and hold them to maturity. I currently own about bonds in about 15 different companies. All of them mature in the next five years and had yields to maturity (interest rates implicit in their pricing) of more than 3% when I bought them. They were all rated investment grade by at least one of S&P and Moody’s.

      Susie Q

      • Regarding adding gold to a portfolio, do you have an opinion on the risk of losing some/all of gold ETF since it is a trust and not physical gold? Since gold is intended to be a hedge during a crisis, doesn’t investment in a trust (trust company can default?) and not buying the physical gold significantly reduce this hedge? I know the convenience and lower cost of buying gold etfs makes it very attractive (don’t have to store), but I wonder if these pros are not worth it. The company that holds the trust can default. Where I am ending up is I am thinking of buying at least 5 different gold etfs (or maybe silver as well) to limit risk if a trust defaults. However, I am not sure if I am just fooling myself since if 1 trust defaults due to crisis, the others will likely as well. Would appreciate your thoughts. Thank you

        • Michael –

          I’m not an expert on gold ETFs,but did some research and found a few, GLD, for example, that say their shares are backed by actual gold. Buying one of these ETFs, if you are comfortable with it, or, as you suggest, diversifying your exposure by buying several gold ETFs might address some of your concerns. Of course, if you are really concerned, you could always buy actual gold. I had one very well-off friend who had gold in his basement (or so we believed).

          Susie Q

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