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Ray Dalio All Weather Portfolio 2x Leveraged

Last updated Dec 2, 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


-15.00%-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-2.50%
7.29%
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

As of Dec 2, 2023, the Ray Dalio All Weather Portfolio 2x Leveraged returned 4.67% Year-To-Date and 8.39% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Ray Dalio All Weather Portfolio 2x Leveraged4.67%14.56%-2.50%-5.41%7.83%8.39%
UBT
ProShares Ultra 20+ Year Treasury
-14.93%19.14%-17.95%-24.84%-9.35%-1.62%
DIG
ProShares Ultra Oil & Gas
-11.60%-0.92%10.66%-18.48%1.71%-5.78%
UST
ProShares Ultra 7-10 Year Treasury
-4.89%7.93%-6.90%-10.33%-2.81%-0.22%
UGL
ProShares Ultra Gold
17.51%8.54%7.44%18.98%13.79%4.30%
SSO
ProShares Ultra S&P 500
36.47%17.17%12.06%20.36%16.96%18.07%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-4.76%3.70%0.82%-4.13%-10.23%-6.63%14.48%

Sharpe Ratio

The current Ray Dalio All Weather Portfolio 2x Leveraged Sharpe ratio is -0.13. 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.

-1.000.001.002.003.00-0.13

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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.13
0.91
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components

Dividend yield

Ray Dalio All Weather Portfolio 2x Leveraged granted a 1.92% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Ray Dalio All Weather Portfolio 2x Leveraged1.92%0.44%0.43%0.48%1.17%1.27%0.92%0.74%1.04%1.22%0.18%0.26%
UBT
ProShares Ultra 20+ Year Treasury
3.23%0.30%0.00%0.26%1.50%1.55%1.37%1.04%1.56%0.79%0.17%0.07%
DIG
ProShares Ultra Oil & Gas
0.68%1.33%4.46%3.18%2.72%2.30%1.76%1.09%1.56%0.87%0.43%0.22%
UST
ProShares Ultra 7-10 Year Treasury
3.22%0.47%0.27%0.53%1.42%1.71%0.84%0.64%0.75%4.91%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
0.30%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%0.70%

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
-0.54
DIG
ProShares Ultra Oil & Gas
-0.41
UST
ProShares Ultra 7-10 Year Treasury
-0.43
UGL
ProShares Ultra Gold
0.87
SSO
ProShares Ultra S&P 500
0.74

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
UGL1.000.020.090.240.30
SSO0.021.000.64-0.31-0.30
DIG0.090.641.00-0.34-0.32
UBT0.24-0.31-0.341.000.90
UST0.30-0.30-0.320.901.00

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%JulyAugustSeptemberOctoberNovemberDecember
-32.86%
-4.21%
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 42.81%, occurring on Oct 31, 2023. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.81%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 Chart

The current Ray Dalio All Weather Portfolio 2x Leveraged volatility is 6.52%, 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.52%
2.79%
Ray Dalio All Weather Portfolio 2x Leveraged
Benchmark (^GSPC)
Portfolio components
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