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

Simulation Settings
Period: March 2010 - November 2024 (~15 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Harry Browne Permanent Portfolio
1.00$
Initial Capital
December 2014
1.78$
Final Capital
November 2024
5.92%
Yearly Return
7.31
Std Deviation
-15.92%
Max Drawdown
27months
Recovery Period
Ray Dalio All Weather 2x Leveraged Portfolio
1.00$
Initial Capital
December 2014
2.02$
Final Capital
November 2024
7.29%
Yearly Return
18.01
Std Deviation
-37.02%
Max Drawdown
35months
Recovery Period
Harry Browne Permanent Portfolio
1.00$
Initial Capital
March 2010
2.51$
Final Capital
November 2024
6.43%
Yearly Return
6.87
Std Deviation
-15.92%
Max Drawdown
27months
Recovery Period
Ray Dalio All Weather 2x Leveraged Portfolio
1.00$
Initial Capital
March 2010
5.17$
Final Capital
November 2024
11.78%
Yearly Return
16.03
Std Deviation
-37.02%
Max Drawdown
35months
Recovery Period

The Harry Browne Permanent Portfolio obtained a 5.92% compound annual return, with a 7.31% standard deviation, in the last 10 Years.

The Ray Dalio All Weather 2x Leveraged Portfolio obtained a 7.29% compound annual return, with a 18.01% standard deviation, in the last 10 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 March 2010 - 30 November 2024 (~15 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_harry_browne.webp Permanent Portfolio
Harry Browne 		14.79 1.36 9.93 19.17 6.45 5.92 6.43
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_ray_dalio.webp All Weather Portfolio 2x Leveraged
Ray Dalio 		16.50 5.72 15.31 28.41 5.83 7.29 11.78
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Harry Browne Permanent Portfolio: an investment of 1$, since December 2014, now would be worth 1.78$, with a total return of 77.69% (5.92% annualized).

Ray Dalio All Weather 2x Leveraged Portfolio: an investment of 1$, since December 2014, now would be worth 2.02$, with a total return of 102.07% (7.29% annualized).


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Harry Browne Permanent Portfolio: an investment of 1$, since March 2010, now would be worth 2.51$, with a total return of 150.72% (6.43% annualized).

Ray Dalio All Weather 2x Leveraged Portfolio: an investment of 1$, since March 2010, now would be worth 5.17$, with a total return of 417.16% (11.78% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 March 2010 - 30 November 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 (%) 19.17 28.41
Infl. Adjusted Return (%) 16.00 25.00
DRAWDOWN
Deepest Drawdown Depth (%) -1.77 -8.19
Start to Recovery (months) 2 4
Longest Drawdown Depth (%) -0.53 -8.19
Start to Recovery (months) 2 4
Longest Negative Period (months) 1 4
RISK INDICATORS
Standard Deviation (%) 5.48 16.79
Sharpe Ratio 2.55 1.38
Sortino Ratio 3.33 1.75
Ulcer Index 0.51 2.83
Ratio: Return / Standard Deviation 3.50 1.69
Ratio: Return / Deepest Drawdown 10.84 3.47
Metrics calculated over the period 1 December 2023 - 30 November 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 (%) 6.45 5.83
Infl. Adjusted Return (%) 2.18 1.59
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Negative Period (months) 40 48
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 8.59 21.97
Sharpe Ratio 0.48 0.16
Sortino Ratio 0.68 0.22
Ulcer Index 5.90 17.01
Ratio: Return / Standard Deviation 0.75 0.27
Ratio: Return / Deepest Drawdown 0.41 0.16
Metrics calculated over the period 1 December 2019 - 30 November 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 (%) 5.92 7.29
Infl. Adjusted Return (%) 2.90 4.23
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Negative Period (months) 40 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.31 18.01
Sharpe Ratio 0.59 0.32
Sortino Ratio 0.85 0.43
Ulcer Index 4.69 13.11
Ratio: Return / Standard Deviation 0.81 0.40
Ratio: Return / Deepest Drawdown 0.37 0.20
Metrics calculated over the period 1 December 2014 - 30 November 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 (%) 6.43 11.78
Infl. Adjusted Return (%) 3.75 8.97
DRAWDOWN
Deepest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Drawdown Depth (%) -15.92 -37.02
Start to Recovery (months) 27 35*
Longest Negative Period (months) 40 52
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 6.87 16.03
Sharpe Ratio 0.78 0.67
Sortino Ratio 1.12 0.90
Ulcer Index 4.01 10.91
Ratio: Return / Standard Deviation 0.94 0.74
Ratio: Return / Deepest Drawdown 0.40 0.32
Metrics calculated over the period 1 March 2010 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 March 2010 - 30 November 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 35* 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 35* 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

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

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 November 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
 14.79 -1.77 16.50 -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