Harry Browne Permanent vs Ray Dalio All Weather 2x Leveraged Portfolio Comparison

Period: March 2010 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Harry Browne Permanent Portfolio
1.00$
Initial Capital
October 2014
1.79$
Final Capital
September 2024
6.01%
Yearly Return
7.31
Std Deviation
-15.92%
Max Drawdown
27 months
Recovery Period
Ray Dalio All Weather 2x Leveraged Portfolio
1.00$
Initial Capital
October 2014
2.15$
Final Capital
September 2024
7.93%
Yearly Return
17.90
Std Deviation
-37.02%
Max Drawdown
33 months
Recovery Period
Harry Browne Permanent Portfolio
1.00$
Initial Capital
March 2010
2.48$
Final Capital
September 2024
6.42%
Yearly Return
6.91
Std Deviation
-15.92%
Max Drawdown
27 months
Recovery Period
Ray Dalio All Weather 2x Leveraged Portfolio
1.00$
Initial Capital
March 2010
5.14$
Final Capital
September 2024
11.87%
Yearly Return
16.00
Std Deviation
-37.02%
Max Drawdown
33 months
Recovery Period

The Harry Browne Permanent Portfolio obtained a 6.01% compound annual return, with a 7.31% standard deviation, in the last 10 Years.

The Ray Dalio All Weather 2x Leveraged Portfolio obtained a 7.93% compound annual return, with a 17.90% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 March 2010 - 30 September 2024 (~15 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Permanent Portfolio
Harry Browne 		13.39 2.48 9.25 24.07 6.41 6.01 6.42
All Weather Portfolio 2x Leveraged
Ray Dalio 		15.68 3.03 10.90 36.78 5.99 7.93 11.87
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Harry Browne Permanent Portfolio: an investment of 1$, since October 2014, now would be worth 1.79$, with a total return of 79.23% (6.01% annualized).

Ray Dalio All Weather 2x Leveraged Portfolio: an investment of 1$, since October 2014, now would be worth 2.15$, with a total return of 114.59% (7.93% annualized).


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Harry Browne Permanent Portfolio: an investment of 1$, since March 2010, now would be worth 2.48$, with a total return of 147.67% (6.42% annualized).

Ray Dalio All Weather 2x Leveraged Portfolio: an investment of 1$, since March 2010, now would be worth 5.14$, with a total return of 413.53% (11.87% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 March 2010 - 30 September 2024 (~15 years)
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Permanent Portfolio All Weather Portfolio 2x Leveraged
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 37.5%
Fixed Income 50% 55%
Commodities 25% 7.5%
PERFORMANCES
Annualized Return (%) 24.07 36.78
Infl. Adjusted Return (%) 21.37 33.80
DRAWDOWN
Deepest Drawdown Depth (%) -1.77 -8.19
Start to Recovery (months) 2 4
Longest Drawdown Depth (%) -0.01 -8.19
Start to Recovery (months) 2 4
Longest Negative Period (months) 1 4
RISK INDICATORS
Standard Deviation (%) 6.60 20.82
Sharpe Ratio 2.83 1.51
Sortino Ratio 3.91 2.08
Ulcer Index 0.51 3.04
Ratio: Return / Standard Deviation 3.65 1.77
Ratio: Return / Deepest Drawdown 13.62 4.49
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Permanent Portfolio All Weather Portfolio 2x Leveraged
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 37.5%
Fixed Income 50% 55%
Commodities 25% 7.5%
PERFORMANCES
Annualized Return (%) 6.41 5.99
Infl. Adjusted Return (%) 2.18 1.77
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Negative Period (months) 40 49
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.58 21.72
Sharpe Ratio 0.49 0.18
Sortino Ratio 0.69 0.24
Ulcer Index 5.90 16.91
Ratio: Return / Standard Deviation 0.75 0.28
Ratio: Return / Deepest Drawdown 0.40 0.16
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Permanent Portfolio All Weather Portfolio 2x Leveraged
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 37.5%
Fixed Income 50% 55%
Commodities 25% 7.5%
PERFORMANCES
Annualized Return (%) 6.01 7.93
Infl. Adjusted Return (%) 3.08 4.96
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Negative Period (months) 40 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.31 17.90
Sharpe Ratio 0.62 0.36
Sortino Ratio 0.89 0.49
Ulcer Index 4.69 13.04
Ratio: Return / Standard Deviation 0.82 0.44
Ratio: Return / Deepest Drawdown 0.38 0.21
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Permanent Portfolio All Weather Portfolio 2x Leveraged
Author Harry Browne Ray Dalio
ASSET ALLOCATION
Stocks 25% 37.5%
Fixed Income 50% 55%
Commodities 25% 7.5%
PERFORMANCES
Annualized Return (%) 6.42 11.87
Infl. Adjusted Return (%) 3.76 9.08
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 33*
Longest Negative Period (months) 40 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.91 16.00
Sharpe Ratio 0.78 0.68
Sortino Ratio 1.12 0.91
Ulcer Index 4.03 10.92
Ratio: Return / Standard Deviation 0.93 0.74
Ratio: Return / Deepest Drawdown 0.40 0.32
Metrics calculated over the period 1 March 2010 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 March 2010 - 30 September 2024 (~15 years)

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Permanent Portfolio All Weather Portfolio 2x Leveraged
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-37.02 33* Jan 2022
In progress
-15.92 27 Jan 2022
Mar 2024
-15.40 17 Feb 2015
Jun 2016
-14.01 16 Aug 2016
Nov 2017
-11.91 14 Feb 2018
Mar 2019
-10.15 10 Aug 2020
May 2021
-6.98 13 Aug 2016
Aug 2017
-6.73 15 Feb 2015
Apr 2016
-4.43 5 Jan 2021
May 2021
-4.36 2 Sep 2021
Oct 2021
-4.25 13 Feb 2018
Feb 2019
-3.74 2 Mar 2020
Apr 2020
-3.30 4 Sep 2020
Dec 2020
-2.73 2 Sep 2021
Oct 2021
-1.91 5 Sep 2019
Jan 2020

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Permanent Portfolio All Weather Portfolio 2x Leveraged
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-37.02 33* Jan 2022
In progress
-15.92 27 Jan 2022
Mar 2024
-15.40 17 Feb 2015
Jun 2016
-14.01 16 Aug 2016
Nov 2017
-11.91 14 Feb 2018
Mar 2019
-10.15 10 Aug 2020
May 2021
-9.99 9 May 2013
Jan 2014
-6.98 13 Aug 2016
Aug 2017
-6.86 17 Oct 2012
Feb 2014
-6.73 15 Feb 2015
Apr 2016
-4.76 3 Sep 2014
Nov 2014
-4.43 5 Jan 2021
May 2021
-4.36 2 Sep 2021
Oct 2021
-4.25 13 Feb 2018
Feb 2019
-3.82 2 Jun 2011
Jul 2011

Rolling Returns

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You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 March 2010 - 30 September 2024 (~15 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Permanent Portfolio All Weather Portfolio 2x Leveraged
Year Return Drawdown Return Drawdown
2024
 13.39% -1.77% 15.68% -8.19%
2023
 11.55% -5.68% 12.73% -19.81%
2022
 -12.53% -15.92% -29.60% -36.33%
2021
 4.21% -4.43% 19.72% -5.30%
2020
 16.10% -3.30% 19.68% -10.15%
2019
 16.17% -1.10% 34.09% -1.91%
2018
 -1.76% -4.25% -10.77% -11.91%
2017
 10.97% -0.83% 21.37% -0.83%
2016
 5.54% -6.98% 11.11% -14.01%
2015
 -3.06% -6.73% -8.24% -15.40%
2014
 9.40% -2.62% 32.31% -4.76%
2013
 -2.08% -6.04% 8.66% -9.99%
2012
 6.41% -1.83% 12.34% -3.39%
2011
 11.11% -1.85% 33.40% -3.82%