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Ray Dalio All Weather Portfolio 2x Leveraged
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


UBT 40%UST 15%UGL 7.5%SSO 30%DIG 7.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
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%

S&P 500

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 Quarterly


340.00%360.00%380.00%400.00%420.00%440.00%460.00%FebruaryMarchAprilMayJuneJuly
439.28%
404.23%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 22, 2010, corresponding to the inception date of UST

Returns By Period

As of Jul 22, 2024, the Ray Dalio All Weather Portfolio 2x Leveraged returned 6.29% Year-To-Date and 7.76% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Ray Dalio All Weather Portfolio 2x Leveraged6.29%0.58%11.65%8.12%6.13%7.76%
UBT
ProShares Ultra 20+ Year Treasury
-12.11%-2.06%-2.18%-17.58%-14.26%-3.82%
DIG
ProShares Ultra Oil & Gas
18.89%7.04%30.94%15.86%7.22%-7.37%
UST
ProShares Ultra 7-10 Year Treasury
-3.81%0.62%-0.31%-3.66%-5.55%-0.74%
UGL
ProShares Ultra Gold
27.45%5.81%32.66%34.52%13.13%5.76%
SSO
ProShares Ultra S&P 500
29.25%1.21%26.11%39.77%21.05%19.48%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.85%0.71%5.55%-8.55%5.38%3.12%6.29%
202311.54%-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%
20206.13%0.68%-3.86%14.26%2.03%0.69%7.92%-0.10%-4.81%-5.56%11.32%3.27%34.36%
20197.06%0.97%5.89%0.30%0.58%7.28%0.46%8.81%-2.13%0.15%1.15%0.30%34.66%
20180.89%-7.30%0.97%-0.82%3.31%0.28%0.53%2.25%-2.07%-8.26%2.23%0.26%-8.17%
20171.83%3.94%-0.83%1.75%1.86%0.39%1.27%2.92%-0.38%0.97%2.45%3.23%21.08%
20162.96%4.39%4.53%1.30%0.22%8.16%3.99%-1.60%-0.58%-6.32%-4.90%1.09%13.03%
20158.14%-3.75%-0.63%-1.43%-2.09%-5.83%3.16%-4.52%-0.49%6.74%-1.51%-3.97%-6.98%
20143.41%4.66%0.67%3.08%3.76%2.71%-1.50%6.91%-4.71%2.98%3.21%2.63%31.01%
20131.36%1.21%2.65%4.08%-5.43%-5.80%2.87%-2.54%2.24%4.63%-1.31%-0.62%2.70%

Expense Ratio

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.


Expense ratio chart for UBT: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for DIG: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for UST: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for UGL: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Ray Dalio All Weather Portfolio 2x Leveraged is 5, indicating that it is in the bottom 5% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55
Ray Dalio All Weather Portfolio 2x Leveraged
The Sharpe Ratio Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55Sharpe Ratio Rank
The Sortino Ratio Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55Sortino Ratio Rank
The Omega Ratio Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55Omega Ratio Rank
The Calmar Ratio Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55Calmar Ratio Rank
The Martin Ratio Rank of Ray Dalio All Weather Portfolio 2x Leveraged is 55Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Ray Dalio All Weather Portfolio 2x Leveraged
Sharpe ratio
The chart of Sharpe ratio for Ray Dalio All Weather Portfolio 2x Leveraged, currently valued at 0.34, compared to the broader market-1.000.001.002.003.004.000.34
Sortino ratio
The chart of Sortino ratio for Ray Dalio All Weather Portfolio 2x Leveraged, currently valued at 0.61, compared to the broader market-2.000.002.004.006.000.61
Omega ratio
The chart of Omega ratio for Ray Dalio All Weather Portfolio 2x Leveraged, currently valued at 1.07, compared to the broader market0.801.001.201.401.601.801.07
Calmar ratio
The chart of Calmar ratio for Ray Dalio All Weather Portfolio 2x Leveraged, currently valued at 0.15, compared to the broader market0.002.004.006.008.0010.000.15
Martin ratio
The chart of Martin ratio for Ray Dalio All Weather Portfolio 2x Leveraged, currently valued at 0.83, compared to the broader market0.0010.0020.0030.0040.000.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UBT
ProShares Ultra 20+ Year Treasury
-0.59-0.670.93-0.25-1.03
DIG
ProShares Ultra Oil & Gas
0.591.031.120.321.46
UST
ProShares Ultra 7-10 Year Treasury
-0.31-0.340.96-0.10-0.67
UGL
ProShares Ultra Gold
1.181.721.210.555.18
SSO
ProShares Ultra S&P 500
1.682.301.281.135.98

Sharpe Ratio

The current Ray Dalio All Weather Portfolio 2x Leveraged Sharpe ratio is 0.34. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Ray Dalio All Weather Portfolio 2x Leveraged with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.34
1.82
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ray Dalio All Weather Portfolio 2x Leveraged granted a 2.47% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Ray Dalio All Weather Portfolio 2x Leveraged2.47%2.04%0.44%0.26%0.48%1.17%1.27%0.92%0.74%1.04%1.22%0.18%
UBT
ProShares Ultra 20+ Year Treasury
4.00%3.54%0.30%0.00%0.26%1.50%1.55%1.37%1.04%1.56%0.79%0.17%
DIG
ProShares Ultra Oil & Gas
1.79%0.61%1.33%2.24%3.18%2.72%2.30%1.76%1.09%1.56%0.87%0.43%
UST
ProShares Ultra 7-10 Year Treasury
3.70%3.49%0.47%0.27%0.53%1.42%1.71%0.84%0.64%0.75%4.91%0.00%
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
0.58%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%

Drawdowns

Drawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-22.90%
-2.86%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

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 22.90%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.91%Nov 10, 2021496Oct 31, 2023
-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

Volatility Chart

The current Ray Dalio All Weather Portfolio 2x Leveraged volatility is 5.02%, 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%FebruaryMarchAprilMayJuneJuly
5.02%
2.76%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

UGLSSODIGUBTUST
UGL1.000.030.100.240.30
SSO0.031.000.62-0.29-0.27
DIG0.100.621.00-0.32-0.31
UBT0.24-0.29-0.321.000.90
UST0.30-0.27-0.310.901.00
The correlation results are calculated based on daily price changes starting from Jan 25, 2010