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Ray Dalio All Weather Portfolio 2x Leveraged

Last updated Sep 23, 2023

This is a 2x leveraged version of the popular Ray Dalio's All Weather Portfolio.

Asset Allocation


UBT 40%UST 15%UGL 7.5%SSO 30%DIG 7.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
UBT
ProShares Ultra 20+ Year Treasury
Leveraged Bonds, Leveraged40%
UST
ProShares Ultra 7-10 Year Treasury
Leveraged Bonds, Leveraged15%
UGL
ProShares Ultra Gold
Leveraged Commodities, Leveraged, Gold7.5%
SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged30%
DIG
ProShares Ultra Oil & Gas
Leveraged Equities, Leveraged7.5%

Performance

The chart shows the growth of an initial investment of $10,000 in Ray Dalio All Weather Portfolio 2x Leveraged, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-5.00%0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
-6.61%
8.61%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the Ray Dalio All Weather Portfolio 2x Leveraged returned -1.49% Year-To-Date and 7.87% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.94%8.79%12.52%16.97%8.21%9.81%
Ray Dalio All Weather Portfolio 2x Leveraged-4.18%-8.55%-1.49%-0.38%5.22%7.89%
UBT
ProShares Ultra 20+ Year Treasury
-7.40%-27.18%-17.22%-27.16%-10.28%-2.28%
DIG
ProShares Ultra Oil & Gas
4.71%28.08%-0.19%45.12%-2.62%-3.96%
UST
ProShares Ultra 7-10 Year Treasury
-2.64%-14.81%-8.28%-10.23%-3.07%-0.62%
UGL
ProShares Ultra Gold
0.51%-9.82%3.69%24.85%11.53%1.27%
SSO
ProShares Ultra S&P 500
-4.20%15.41%21.98%28.90%11.64%18.09%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

UGLSSODIGUBTUST
UGL1.000.020.090.240.30
SSO0.021.000.64-0.32-0.31
DIG0.090.641.00-0.34-0.32
UBT0.24-0.32-0.341.000.89
UST0.30-0.31-0.320.891.00

Sharpe Ratio

The current Ray Dalio All Weather Portfolio 2x Leveraged Sharpe ratio is -0.23. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.23

The Sharpe ratio of Ray Dalio All Weather Portfolio 2x Leveraged is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.23
0.81
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Dividend yield

Ray Dalio All Weather Portfolio 2x Leveraged granted a 1.97% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Ray Dalio All Weather Portfolio 2x Leveraged1.97%0.44%0.43%0.50%1.22%1.34%0.99%0.68%1.13%1.34%0.20%0.27%
UBT
ProShares Ultra 20+ Year Treasury
3.32%0.31%0.00%0.27%1.55%1.62%1.46%0.81%1.69%0.87%0.19%0.07%
DIG
ProShares Ultra Oil & Gas
0.61%1.33%4.53%3.39%3.02%2.62%2.03%1.28%1.86%1.05%0.53%0.27%
UST
ProShares Ultra 7-10 Year Treasury
3.34%0.48%0.28%0.55%1.47%1.80%0.90%0.70%0.82%5.39%0.00%0.02%
UGL
ProShares Ultra Gold
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SSO
ProShares Ultra S&P 500
0.33%0.50%0.18%0.20%0.51%0.76%0.39%0.52%0.65%0.34%0.27%0.74%

Expense Ratio

The Ray Dalio All Weather Portfolio 2x Leveraged has a high expense ratio of 0.94%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.95%
0.00%2.15%
0.95%
0.00%2.15%
0.95%
0.00%2.15%
0.90%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
UBT
ProShares Ultra 20+ Year Treasury
-0.81
DIG
ProShares Ultra Oil & Gas
0.44
UST
ProShares Ultra 7-10 Year Treasury
-0.64
UGL
ProShares Ultra Gold
0.71
SSO
ProShares Ultra S&P 500
0.65

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-36.81%
-9.93%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Ray Dalio All Weather Portfolio 2x Leveraged. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Ray Dalio All Weather Portfolio 2x Leveraged is 41.12%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.12%Nov 10, 2021238Oct 20, 2022
-24.71%Mar 10, 20208Mar 19, 202027Apr 28, 202035
-16.87%Feb 3, 2015156Sep 15, 2015181Jun 3, 2016337
-14.62%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-14.29%Jul 11, 2016102Dec 1, 2016190Sep 5, 2017292

Volatility Chart

The current Ray Dalio All Weather Portfolio 2x Leveraged volatility is 5.34%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
5.34%
3.41%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components