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 | 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
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
The earliest data available for this chart is Jan 22, 2010, corresponding to the inception date of UST
Returns By Period
As of Nov 20, 2024, the Ray Dalio All Weather Portfolio 2x Leveraged returned 10.37% Year-To-Date and 7.66% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| Ray Dalio All Weather Portfolio 2x Leveraged | 10.58% | -0.64% | 7.92% | 24.78% | 5.42% | 7.68% |
| Portfolio components: | ||||||
UBT ProShares Ultra 20+ Year Treasury | -16.40% | -3.48% | -2.06% | 0.53% | -17.26% | -5.37% |
DIG ProShares Ultra Oil & Gas | 26.93% | 13.71% | 7.40% | 25.70% | 11.67% | -4.16% |
UST ProShares Ultra 7-10 Year Treasury | -5.05% | -3.01% | 2.15% | 3.15% | -6.57% | -1.27% |
UGL ProShares Ultra Gold | 48.57% | -7.05% | 16.32% | 56.33% | 15.72% | 9.09% |
SSO ProShares Ultra S&P 500 | 45.94% | 1.58% | 20.58% | 60.54% | 22.49% | 19.96% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.85% | 0.71% | 5.55% | -8.55% | 5.38% | 3.12% | 4.87% | 3.01% | 3.02% | -5.55% | 10.58% | ||
| 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% |
| 2020 | 6.13% | 0.68% | -3.86% | 14.26% | 2.03% | 0.69% | 7.92% | -0.10% | -4.81% | -5.56% | 11.32% | 3.27% | 34.36% |
| 2019 | 7.06% | 0.97% | 5.89% | 0.30% | 0.58% | 7.28% | 0.47% | 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% | 6.74% | -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% |
| 2013 | 1.36% | 1.21% | 2.64% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Ray Dalio All Weather Portfolio 2x Leveraged is 16, indicating that it is in the bottom 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | -0.00 | 0.20 | 1.02 | -0.00 | -0.00 |
DIG ProShares Ultra Oil & Gas | 0.71 | 1.15 | 1.14 | 0.38 | 1.93 |
UST ProShares Ultra 7-10 Year Treasury | 0.23 | 0.42 | 1.05 | 0.07 | 0.53 |
UGL ProShares Ultra Gold | 2.02 | 2.54 | 1.33 | 1.15 | 11.07 |
SSO ProShares Ultra S&P 500 | 2.46 | 3.04 | 1.42 | 3.05 | 15.01 |
Dividends
Dividend yield
Ray Dalio All Weather Portfolio 2x Leveraged provided a 2.60% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.60% | 2.04% | 0.44% | 0.26% | 0.48% | 1.17% | 1.27% | 0.92% | 0.74% | 1.04% | 1.21% | 0.18% |
| Portfolio components: | ||||||||||||
UBT ProShares Ultra 20+ Year Treasury | 4.20% | 3.53% | 0.30% | 0.00% | 0.26% | 1.50% | 1.55% | 1.37% | 1.04% | 1.56% | 0.79% | 0.18% |
DIG ProShares Ultra Oil & Gas | 2.32% | 0.61% | 1.33% | 2.24% | 3.19% | 2.72% | 2.30% | 1.76% | 1.09% | 1.56% | 0.87% | 0.43% |
UST ProShares Ultra 7-10 Year Treasury | 3.55% | 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 | 0.70% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% | 0.26% |
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.
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 19.95%.
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 current Ray Dalio All Weather Portfolio 2x Leveraged volatility is 4.59%, 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.
Diversification
Asset Correlations Table
| UGL | SSO | DIG | UBT | UST | |
|---|---|---|---|---|---|
| UGL | 1.00 | 0.04 | 0.10 | 0.24 | 0.30 |
| SSO | 0.04 | 1.00 | 0.62 | -0.29 | -0.27 |
| DIG | 0.10 | 0.62 | 1.00 | -0.32 | -0.31 |
| UBT | 0.24 | -0.29 | -0.32 | 1.00 | 0.90 |
| UST | 0.30 | -0.27 | -0.31 | 0.90 | 1.00 |