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% |
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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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Returns By Period
As of Jun 3, 2026, the Ray Dalio All Weather Portfolio 2x Leveraged returned 12.97% Year-To-Date and 9.10% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.13% | 5.25% | 11.16% | 11.43% | 28.20% | 21.12% | 12.66% | 13.75% |
Portfolio Ray Dalio All Weather Portfolio 2x Leveraged | 0.44% | 3.17% | 12.97% | 11.73% | 32.61% | 14.34% | 3.63% | 9.10% |
| Portfolio components: | ||||||||
DIG ProShares Ultra Oil & Gas | 2.37% | -4.28% | 62.18% | 61.21% | 89.23% | 22.33% | 27.99% | 5.05% |
SSO ProShares Ultra S&P500 | 0.27% | 10.52% | 21.07% | 21.28% | 56.67% | 38.21% | 20.39% | 24.38% |
UBT ProShares Ultra 20+ Year Treasury | 0.44% | 0.50% | -1.97% | -5.19% | 4.64% | -10.10% | -17.44% | -8.20% |
UGL ProShares Ultra Gold | 0.31% | -6.05% | -0.16% | 3.70% | 52.07% | 54.22% | 28.09% | 18.69% |
UST ProShares Ultra 7-10 Year Treasury | 0.17% | -0.70% | -2.33% | -3.40% | 4.06% | -0.32% | -6.44% | -2.07% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 3, 2010, Ray Dalio All Weather Portfolio 2x Leveraged's average daily return is +0.05%, while the average monthly return is +1.11%. At this rate, an investment would double in approximately 5.2 years.
Historically, 68% of months were positive and 32% 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% | 0.66% | 12.97% | ||||||
| 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 7.88%, beta of 0.43, and R2 of 0.21 versus S&P 500 Index. Calculated based on daily prices since February 03, 2010.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (75.05%) than losses (64.33%) - typical of diversified or defensive assets.
- Beta of 0.43 may look defensive, but with R2 of 0.21 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 0.21 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
- 7.88%
- Beta
- 0.43
- R²
- 0.21
- Upside Capture
- 75.05%
- Downside Capture
- 64.33%
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.
Return for Risk
Risk / Return Rank
Ray Dalio All Weather Portfolio 2x Leveraged ranks 48 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by 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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.42 | 2.39 | +0.04 |
Sortino ratioReturn per unit of downside risk | 3.25 | 3.25 | -0.01 |
Omega ratioGain probability vs. loss probability | 1.42 | 1.43 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 3.63 | 3.11 | +0.52 |
Martin ratioReturn relative to average drawdown | 13.30 | 14.38 | -1.08 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 | 62 | 2.20 | 2.60 | 1.32 | 4.04 | 11.14 |
SSO ProShares Ultra S&P500 | 68 | 2.42 | 3.03 | 1.40 | 3.21 | 14.14 |
UBT ProShares Ultra 20+ Year Treasury | 11 | 0.24 | 0.48 | 1.05 | 0.17 | 0.42 |
UGL ProShares Ultra Gold | 29 | 0.99 | 1.44 | 1.22 | 1.60 | 3.71 |
UST ProShares Ultra 7-10 Year Treasury | 14 | 0.43 | 0.68 | 1.08 | 0.41 | 1.20 |
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Dividends
Dividend yield
Ray Dalio All Weather Portfolio 2x Leveraged provided a 2.40% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.40% | 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 | 1.53% | 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 | 0.61% | 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 | 3.96% | 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 | 3.47% | 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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2023 bear market2023 | -42.91%Oct 2023 | 1y 11mo | 2y 3mo | 4y 3moNov 2021 - Feb 2026 |
COVID crash2020 | -24.71%Mar 2020 | 9d | 1mo 10d | 1mo 19dMar 2020 - Apr 2020 |
2015 correction2015 | -16.87%Sep 2015 | 7mo 14d | 8mo 22d | 1y 4moFeb 2015 - Jun 2016 |
Rate-hike selloffLate 2018 | -14.62%Dec 2018 | 10mo 29d | 2mo 27d | 1y 1moJan 2018 - Mar 2019 |
2016 correction2016 | -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
Thesis
The portfolio is betting on leverage across two familiar axes: duration and equity risk, with a modest commodity sleeve as the awkward but useful third wheel. In some sense, it is a macro portfolio that has decided to speak in ETFs.
The numbers
- The diversification ratio is 1.74 over 1Y and 1.87 since inception, both near the top of the platform at 80.2th and 95.0th percentiles, so the weights are doing real work rather than merely stacking exposure.
- Effective asset count is 3.52 of 5, which is reasonably broad; concentration is more in the covariance structure than in the raw weight list.
- Average pairwise correlation is 0.10, but the portfolio still splits into a bond pair, an equity pair, and a solitary commodity sleeve.
What works
- The bond sleeves, UBT (ProShares Ultra 20+ Year Treasury) and UST (ProShares Ultra 7-10 Year Treasury), are highly correlated at 0.89, which makes the rate view clean rather than decorative.
- UGL (ProShares Ultra Gold) has weak ties to the equity sleeves and even negative correlation to the bond sleeves at times, so it does provide an independent return driver.
- The portfolio’s long-run DR percentile is strong, which means the sleeves have not been moving in lockstep for long stretches.
What does not
- UBT (ProShares Ultra 20+ Year Treasury) and UST (ProShares Ultra 7-10 Year Treasury) together dominate the portfolio at 55%, so duration risk is the main character.
- DIG (ProShares Ultra Oil & Gas) and SSO (ProShares Ultra S&P 500) sit in the same cluster, which is a polite way of saying the equity exposure is not as split as the label count suggests.
- Leveraged ETFs can diversify across asset classes while still sharing a common source of friction: path dependence.
Stress Scenario
- A regime of rising yields and choppy equities would pressure both the leveraged bond sleeve and the leveraged equity sleeves at once, leaving UGL (ProShares Ultra Gold) to carry more of the burden than its weight suggests.
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 | 1.74 | 1.56 | 1.58 | 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
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.60 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Feb 3, 2010 | 0.45 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SSO has the highest benchmark correlation at 1.00, while UBT has the lowest at -0.25.
Asset Correlations Table
Find what Ray Dalio All Weather Portfolio 2x Leveraged is missing
See which holdings overlap, where Ray Dalio All Weather Portfolio 2x Leveraged is concentrated, and which low-correlation assets could fill the gaps.
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