Ray Dalio All Weather Portfolio 2x Leveraged

Asset Allocation

Position	Category/Sector	Target Weight
UBT ProShares Ultra 20+ Year Treasury	Leveraged Bonds	40%
SSO ProShares Ultra S&P500	Leveraged Equities, S&P 500	30%
UST ProShares Ultra 7-10 Year Treasury	Leveraged Bonds	15%
UGL ProShares Ultra Gold	Leveraged Commodities	7.50%
DIG ProShares Ultra Oil & Gas	Leveraged Equities	7.50%

Benchmark: S&P 500 Index · Rebalance: Every 3 months

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Performance

Performance Chart

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 Every 3 months.

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Benchmark

Compare your portfolio against anything

Returns By Period

As of Aug 4, 2026, the Ray Dalio All Weather Portfolio 2x Leveraged returned 7.67% Year-To-Date and 7.81% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	1.48%	1.57%	8.95%	11.03%	21.84%	19.28%	11.54%	13.29%	8.11%
Portfolio Ray Dalio All Weather Portfolio 2x Leveraged	1.05%	-1.25%	4.23%	7.67%	18.74%	12.98%	0.82%	7.81%	12.40%
Portfolio components:
DIG ProShares Ultra Oil & Gas	-2.58%	20.98%	33.99%	66.37%	81.22%	16.66%	35.08%	5.18%	-0.04%
SSO ProShares Ultra S&P500	2.91%	2.90%	15.55%	19.52%	41.35%	33.95%	17.79%	23.26%	15.80%
UBT ProShares Ultra 20+ Year Treasury	0.81%	-7.64%	-8.31%	-9.14%	-9.25%	-9.00%	-21.58%	-9.58%	0.30%
UGL ProShares Ultra Gold	0.02%	-4.23%	-29.46%	-20.39%	24.89%	44.20%	24.23%	14.50%	11.85%
UST ProShares Ultra 7-10 Year Treasury	0.56%	-2.55%	-3.81%	-4.75%	-2.66%	0.46%	-8.21%	-2.53%	2.37%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Feb 2, 2010, Ray Dalio All Weather Portfolio 2x Leveraged's average daily return is +0.05%, while the average monthly return is +1.08%. At this rate, an investment would double in approximately 5.4 years.

Historically, 67% of months were positive and 33% were negative. The best month was Nov 2023 with a return of +14.5%, while the worst month was Sep 2022 at -15.6%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Ray Dalio All Weather Portfolio 2x Leveraged closed higher 55% of trading days. The best single day was Nov 10, 2022 with a return of +7.7%, while the worst single day was Mar 10, 2020 at -7.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.26%	6.66%	-6.48%	4.95%	2.84%	-2.52%	-2.61%	1.05%					7.67%
2025	2.72%	4.70%	-2.13%	-3.78%	0.25%	6.07%	0.14%	2.60%	6.48%	2.51%	1.37%	-2.38%	19.50%
2024	-1.85%	0.71%	5.55%	-8.55%	5.38%	3.12%	4.87%	3.01%	3.02%	-5.55%	5.56%	-8.77%	4.95%
2023	11.54%	-8.48%	7.68%	1.36%	-4.76%	3.70%	0.82%	-4.13%	-10.23%	-6.63%	14.45%	11.01%	13.27%
2022	-4.07%	-0.88%	-1.11%	-14.28%	0.06%	-9.78%	9.16%	-7.62%	-15.64%	2.71%	10.60%	-7.11%	-34.69%
2021	-3.99%	-0.62%	-0.86%	5.90%	2.43%	4.38%	4.14%	0.96%	-5.23%	7.73%	0.87%	1.15%	17.30%

Benchmark Metrics

Ray Dalio All Weather Portfolio 2x Leveraged has an annualized alpha of 7.48%, beta of 0.44, and R2 of 0.22 versus S&P 500 Index. Calculated based on daily prices since February 02, 2010.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (74.98%) than losses (66.03%) - typical of diversified or defensive assets.
Beta of 0.44 may look defensive, but with R2 of 0.22 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.22 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: 7.48%

Beta: 0.44

R²: 0.22

Upside Capture: 74.98%

Downside Capture: 66.03%

See how alpha, beta & R² have trended over time →

Expense Ratio

Ray Dalio All Weather Portfolio 2x Leveraged has an expense ratio of 0.93%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

UBT

ProShares Ultra 20+ Year Treasury

DIG

ProShares Ultra Oil & Gas

UST

ProShares Ultra 7-10 Year Treasury

UGL

ProShares Ultra Gold

SSO

ProShares Ultra S&P500

Return for Risk

Risk / Return Rank

Ray Dalio All Weather Portfolio 2x Leveraged ranks 31 for risk / return — above 31% of Portfolios peers on PortfoliosLab. Its historical combined result is below the peer median.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

Risk / Return Metrics

The table below presents risk-adjusted performance metrics for Ray Dalio All Weather Portfolio 2x Leveraged and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.32	1.71	-0.39
Sortino ratioReturn per unit of downside risk	1.83	2.36	-0.54
Omega ratioGain probability vs. loss probability	1.23	1.31	-0.07
Calmar ratioReturn relative to maximum drawdown	2.09	2.41	-0.33
Martin ratioReturn relative to average drawdown	6.50	10.22	-3.72

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
DIG ProShares Ultra Oil & Gas	70	1.94	2.36	1.29	2.74	6.98
SSO ProShares Ultra S&P500	67	1.63	2.18	1.28	2.29	9.14
UBT ProShares Ultra 20+ Year Treasury	5	-0.51	-0.61	0.93	-0.51	-1.08
UGL ProShares Ultra Gold	22	0.45	0.91	1.13	0.50	1.01
UST ProShares Ultra 7-10 Year Treasury	7	-0.30	-0.35	0.96	-0.30	-0.66

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Ray Dalio All Weather Portfolio 2x Leveraged Sharpe ratio is 1.32 as of Aug 4, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.35 to 2.18, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Ray Dalio All Weather Portfolio 2x Leveraged compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Ray Dalio All Weather Portfolio 2x Leveraged provided a 2.36% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.36%	2.65%	2.90%	2.04%	0.44%	0.26%	0.48%	1.17%	1.27%	0.92%	0.63%	1.04%
Portfolio components:
DIG ProShares Ultra Oil & Gas	1.49%	2.62%	3.13%	0.61%	1.33%	2.24%	3.18%	2.72%	2.30%	1.76%	1.09%	1.56%
SSO ProShares Ultra S&P500	0.66%	0.68%	0.85%	0.18%	0.50%	0.18%	0.20%	0.50%	0.75%	0.39%	0.51%	0.63%
UBT ProShares Ultra 20+ Year Treasury	3.77%	4.26%	4.50%	3.54%	0.30%	0.00%	0.26%	1.50%	1.55%	1.37%	0.75%	1.56%
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%
UST ProShares Ultra 7-10 Year Treasury	3.63%	3.65%	4.09%	3.49%	0.47%	0.27%	0.53%	1.42%	1.71%	0.84%	0.64%	0.75%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Ray Dalio All Weather Portfolio 2x Leveraged. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Ray Dalio All Weather Portfolio 2x Leveraged was 42.91%, occurring on Oct 31, 2023. Recovery took 581 trading sessions.

The current Ray Dalio All Weather Portfolio 2x Leveraged drawdown is 4.69%.

Drawdown	Fall	Recovery	Underwater	Related event
-42.91%Oct 2023	1y 11mo	2y 3mo	4y 3moNov 2021 - Feb 2026	—
-24.71%Mar 2020	9d	1mo 10d	1mo 19dMar 2020 - Apr 2020	COVID crash2020
-16.87%Sep 2015	7mo 14d	8mo 22d	1y 4moFeb 2015 - Jun 2016	—
-14.62%Dec 2018	10mo 29d	2mo 27d	1y 1moJan 2018 - Mar 2019	Rate-hike selloffLate 2018
-14.29%Dec 2016	4mo 23d	9mo 8d	1y 1moJul 2016 - Sep 2017	—

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

AI Analysis

The gist

The portfolio is a leveraged cross-asset allocation: bonds, equities, and commodities, with UBT and UST supplying a large shared duration bet. The diversification is real, though leverage makes the plumbing part of the thesis.

The numbers

Diversification ratio is 1.70 over one year and 1.87 since inception, ranking in the 79.5th–96.8th percentiles.
Effective asset count is 3.52 of 5: reasonably spread, but not five independent engines.
Mean correlation is only 0.10, while the range runs from -0.30 to 0.89.

The good

ProShares Ultra 20+ Year Treasury (UBT) and ProShares Ultra 7–10 Year Treasury (UST) sit in a portfolio whose sleeves often offset one another.
ProShares Ultra S&P 500 (SSO) and ProShares Ultra Bloomberg Commodity (UGL) provide distinct equity and commodity behavior.

The bad

UBT and UST correlate at 0.89 and together represent 55% of the portfolio, making the bond diversification somewhat ceremonial.
Direxion Daily S&P 500 Bull 3X Shares (DIG) and SSO form a smaller but clear equity cluster.

The ugly

A sharp rate move can hit both leveraged bond sleeves simultaneously; daily-reset leverage then makes sideways volatility an additional source of damage.

Next steps

Portfolios with this structure are typically assessed by leverage-adjusted volatility and path dependence, not correlation alone.

AI-generated analysis. Not investment advice. Verify key facts independently.

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Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 3.52, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.70	1.58	1.57	1.73	1.87

The portfolio has a diversification ratio of 1.87, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.

Ray Dalio All Weather Portfolio 2x Leveraged correlation to the S&P 500 Index

Ray Dalio All Weather Portfolio 2x Leveraged has a 0.71 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.71
Correlation (3Y) Balances recent behavior with more history.	0.61
Correlation (5Y) Shows whether the relationship held over a longer period.	0.60
Correlation (10Y) Provides a long-term view across more market conditions.	0.56
Correlation (All Time) Calculated using the full available price history since Feb 2, 2010	0.46