Ray Dalio All Weather Portfolio 2x Leveraged
This is a 2x leveraged version of the popular Ray Dalio's All Weather Portfolio.
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DIG ProShares Ultra Oil & Gas | Leveraged Equities, Leveraged | 7.50% |
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 30% |
UBT ProShares Ultra 20+ Year Treasury | Leveraged Bonds, Leveraged | 40% |
UGL ProShares Ultra Gold | Leveraged Commodities, Leveraged, Gold | 7.50% |
UST ProShares Ultra 7-10 Year Treasury | Leveraged Bonds, Leveraged | 15% |
Performance
Performance Chart
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The earliest data available for this chart is Jan 22, 2010, corresponding to the inception date of UST
Returns By Period
As of May 11, 2025, the Ray Dalio All Weather Portfolio 2x Leveraged returned 0.32% Year-To-Date and 7.09% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Ray Dalio All Weather Portfolio 2x Leveraged | 0.32% | 6.26% | -7.09% | 4.99% | 1.23% | 7.09% |
| Portfolio components: | ||||||
UBT ProShares Ultra 20+ Year Treasury | -0.29% | 0.84% | -10.56% | -5.68% | -22.74% | -5.94% |
DIG ProShares Ultra Oil & Gas | -11.84% | 13.68% | -26.02% | -27.57% | 29.32% | -5.56% |
UST ProShares Ultra 7-10 Year Treasury | 4.44% | 1.04% | 2.00% | 6.56% | -9.09% | -1.18% |
UGL ProShares Ultra Gold | 52.32% | 8.66% | 43.86% | 76.29% | 19.37% | 13.58% |
SSO ProShares Ultra S&P 500 | -11.10% | 14.71% | -15.07% | 8.77% | 24.43% | 17.91% |
Monthly Returns
The table below presents the monthly returns of Ray Dalio All Weather Portfolio 2x Leveraged, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.72% | 4.70% | -2.13% | -3.78% | -0.95% | 0.32% | |||||||
| 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% | 11.00% | 13.26% |
| 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% |
| 2020 | 6.13% | 0.68% | -3.86% | 14.26% | 2.03% | 0.69% | 7.92% | -0.10% | -4.81% | -5.55% | 11.32% | 3.27% | 34.36% |
| 2019 | 7.06% | 0.97% | 5.89% | 0.30% | 0.58% | 7.28% | 0.46% | 8.81% | -2.13% | 0.15% | 1.15% | 0.30% | 34.66% |
| 2018 | 0.89% | -7.30% | 0.97% | -0.82% | 3.31% | 0.28% | 0.53% | 2.25% | -2.07% | -8.26% | 2.23% | 0.26% | -8.17% |
| 2017 | 1.83% | 3.94% | -0.83% | 1.75% | 1.86% | 0.39% | 1.27% | 2.92% | -0.38% | 0.97% | 2.45% | 3.23% | 21.08% |
| 2016 | 2.96% | 4.39% | 4.53% | 1.30% | 0.22% | 8.16% | 3.99% | -1.60% | -0.58% | -6.32% | -4.90% | 1.09% | 13.03% |
| 2015 | 8.14% | -3.75% | -0.63% | -1.43% | -2.09% | -5.83% | 3.16% | -4.52% | -0.49% | 6.73% | -1.51% | -3.97% | -6.98% |
| 2014 | 3.41% | 4.66% | 0.67% | 3.08% | 3.76% | 2.71% | -1.50% | 6.91% | -4.71% | 2.98% | 3.21% | 2.63% | 31.01% |
Expense Ratio
Ray Dalio All Weather Portfolio 2x Leveraged has a high expense ratio of 0.94%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Ray Dalio All Weather Portfolio 2x Leveraged is 13, meaning it’s performing worse than 87% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
UBT ProShares Ultra 20+ Year Treasury | -0.24 | -0.16 | 0.98 | -0.09 | -0.43 |
DIG ProShares Ultra Oil & Gas | -0.57 | -0.47 | 0.93 | -0.38 | -1.64 |
UST ProShares Ultra 7-10 Year Treasury | 0.42 | 0.70 | 1.08 | 0.13 | 0.82 |
UGL ProShares Ultra Gold | 2.25 | 2.86 | 1.36 | 2.18 | 12.98 |
SSO ProShares Ultra S&P 500 | 0.24 | 0.64 | 1.09 | 0.29 | 1.03 |
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Dividends
Dividend yield
Ray Dalio All Weather Portfolio 2x Leveraged provided a 2.90% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.90% | 2.90% | 2.04% | 0.44% | 0.26% | 0.48% | 1.17% | 1.27% | 0.92% | 0.74% | 1.04% | 1.21% |
| Portfolio components: | ||||||||||||
UBT ProShares Ultra 20+ Year Treasury | 4.47% | 4.50% | 3.53% | 0.30% | 0.00% | 0.26% | 1.50% | 1.55% | 1.37% | 1.04% | 1.56% | 0.79% |
DIG ProShares Ultra Oil & Gas | 3.64% | 3.13% | 0.61% | 1.33% | 2.24% | 3.18% | 2.72% | 2.30% | 1.76% | 1.09% | 1.56% | 0.87% |
UST ProShares Ultra 7-10 Year Treasury | 3.68% | 4.09% | 3.49% | 0.47% | 0.27% | 0.53% | 1.42% | 1.71% | 0.84% | 0.64% | 0.75% | 4.91% |
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 | 0.95% | 0.85% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% |
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. The portfolio has not yet recovered.
The current Ray Dalio All Weather Portfolio 2x Leveraged drawdown is 23.64%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.91% | Nov 10, 2021 | 496 | Oct 31, 2023 | — | — | — |
| -24.71% | Mar 10, 2020 | 8 | Mar 19, 2020 | 27 | Apr 28, 2020 | 35 |
| -16.87% | Feb 3, 2015 | 156 | Sep 15, 2015 | 181 | Jun 3, 2016 | 337 |
| -14.62% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
| -14.29% | Jul 11, 2016 | 102 | Dec 1, 2016 | 190 | Sep 5, 2017 | 292 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | UGL | DIG | UST | UBT | SSO | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.04 | 0.61 | -0.26 | -0.27 | 1.00 | 0.44 |
| UGL | 0.04 | 1.00 | 0.10 | 0.29 | 0.23 | 0.04 | 0.40 |
| DIG | 0.61 | 0.10 | 1.00 | -0.30 | -0.31 | 0.61 | 0.33 |
| UST | -0.26 | 0.29 | -0.30 | 1.00 | 0.90 | -0.26 | 0.57 |
| UBT | -0.27 | 0.23 | -0.31 | 0.90 | 1.00 | -0.27 | 0.62 |
| SSO | 1.00 | 0.04 | 0.61 | -0.26 | -0.27 | 1.00 | 0.45 |
| Portfolio | 0.44 | 0.40 | 0.33 | 0.57 | 0.62 | 0.45 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of correlations that suggest both complementary and overlapping exposures. The correlation matrix reveals that UBT and UST are highly correlated at 0.89, indicating these two positions move very closely together, which could reduce diversification benefits within the fixed income or bond segment of the portfolio. Similarly, SSO and DIG have a relatively strong positive correlation of 0.61, implying some overlap in equity exposure, potentially concentrating risk in similar market drivers.
On the other hand, UGL shows very low correlations with SSO (0.04) and DIG (0.10), which helps improve diversification by introducing an asset that behaves differently from the main equity holdings. The negative correlations of UST and UBT with SSO and DIG (around -0.26 to -0.31) further enhance diversification by offsetting equity risk with bond-like behavior.
Looking at the portfolio’s correlation with individual positions, UBT (0.62) and UST (0.57) have the highest correlations, suggesting these bond-related assets have a stronger influence on the portfolio’s overall movement. The equity positions (SSO at 0.45 and DIG at 0.33) have moderate influence, while UGL’s correlation with the portfolio is lower (0.40), indicating it contributes to diversification rather than dominating the portfolio’s returns.
Overall, the portfolio is not overly concentrated but does have clusters of highly correlated positions that could limit diversification benefits, particularly within the bond segment. The presence of lowly correlated assets like UGL and the negative correlations between bonds and equities support a balanced risk profile, consistent with the All Weather strategy’s goal of performing across different market environments.