PortfoliosLab logo
Golden Butterfly Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


Loading data...

The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD

Returns By Period

As of May 17, 2025, the Golden Butterfly Portfolio returned 3.34% Year-To-Date and 6.79% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
1.30%12.94%1.49%12.48%15.82%10.87%
Golden Butterfly Portfolio3.34%3.75%2.95%9.77%7.57%6.79%
SHY
iShares 1-3 Year Treasury Bond ETF
1.82%-0.08%2.45%5.23%1.03%1.39%
TLT
iShares 20+ Year Treasury Bond ETF
0.21%-1.92%-2.13%-2.28%-9.95%-0.59%
VTI
Vanguard Total Stock Market ETF
1.31%13.31%1.46%13.20%17.04%12.18%
IJS
iShares S&P SmallCap 600 Value ETF
-8.44%13.91%-10.83%-1.07%15.83%6.89%
GLD
SPDR Gold Trust
21.52%-4.30%24.37%33.73%12.44%9.79%
*Annualized

Monthly Returns

The table below presents the monthly returns of Golden Butterfly Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.49%0.18%-0.53%-0.32%1.52%3.34%
2024-1.53%1.11%3.29%-2.94%2.86%0.53%4.79%1.12%2.18%-0.86%3.28%-3.53%10.39%
20236.60%-3.04%2.00%0.02%-1.58%2.54%1.94%-2.21%-4.74%-1.36%6.25%5.91%12.16%
2022-3.34%0.81%-0.36%-5.49%-0.58%-4.08%3.62%-3.27%-6.49%2.92%4.99%-2.54%-13.64%
2021-0.18%0.59%0.92%2.57%2.44%-0.36%0.75%0.83%-2.45%2.62%-0.41%1.77%9.36%
20201.26%-2.03%-5.20%7.15%1.84%1.82%4.73%1.38%-2.56%-0.44%5.61%3.78%17.96%
20194.87%1.26%0.28%1.16%-1.58%4.76%0.59%2.45%0.09%1.17%0.59%1.27%18.06%
20181.25%-2.61%0.60%-0.21%1.98%-0.23%0.44%1.25%-1.30%-3.60%1.00%-1.68%-3.23%
20171.39%1.99%-0.32%1.01%0.12%0.48%0.89%1.05%0.93%0.38%1.55%0.94%10.90%
20160.04%3.38%2.82%1.44%-0.71%3.50%2.63%-0.61%0.06%-2.66%0.22%0.74%11.19%
20152.22%-0.46%-0.19%-0.96%0.07%-1.35%-0.60%-1.62%-1.13%3.27%-0.89%-1.69%-3.40%
20140.64%3.24%-0.16%0.08%0.57%2.44%-2.03%2.78%-3.25%1.97%1.13%1.37%8.93%

Expense Ratio

Golden Butterfly Portfolio has an expense ratio of 0.20%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Golden Butterfly Portfolio is 73, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Golden Butterfly Portfolio is 7373
Overall Rank
The Sharpe Ratio Rank of Golden Butterfly Portfolio is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of Golden Butterfly Portfolio is 6969
Sortino Ratio Rank
The Omega Ratio Rank of Golden Butterfly Portfolio is 6666
Omega Ratio Rank
The Calmar Ratio Rank of Golden Butterfly Portfolio is 7878
Calmar Ratio Rank
The Martin Ratio Rank of Golden Butterfly Portfolio is 8080
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SHY
iShares 1-3 Year Treasury Bond ETF
3.165.381.695.5215.13
TLT
iShares 20+ Year Treasury Bond ETF
-0.16-0.001.00-0.02-0.13
VTI
Vanguard Total Stock Market ETF
0.661.121.170.742.80
IJS
iShares S&P SmallCap 600 Value ETF
-0.040.111.01-0.04-0.11
GLD
SPDR Gold Trust
1.902.661.344.3011.04

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Golden Butterfly Portfolio Sharpe ratios as of May 17, 2025 (values are recalculated daily):

  • 1-Year: 0.95
  • 5-Year: 0.75
  • 10-Year: 0.77
  • All Time: 0.83

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Golden Butterfly Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Loading data...

Dividends

Dividend yield

Golden Butterfly Portfolio provided a 2.31% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.31%2.25%1.85%1.42%0.89%0.97%1.56%1.63%1.31%1.29%1.34%1.24%
SHY
iShares 1-3 Year Treasury Bond ETF
3.96%3.92%2.99%1.30%0.24%0.94%2.12%1.72%0.98%0.71%0.54%0.36%
TLT
iShares 20+ Year Treasury Bond ETF
4.39%4.30%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%
VTI
Vanguard Total Stock Market ETF
1.28%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
IJS
iShares S&P SmallCap 600 Value ETF
1.95%1.78%1.42%1.47%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.


Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the Golden Butterfly Portfolio. 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 Golden Butterfly Portfolio was 20.32%, occurring on Nov 20, 2008. Recovery took 205 trading sessions.

The current Golden Butterfly Portfolio drawdown is 0.51%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.32%May 21, 2008129Nov 20, 2008205Sep 16, 2009334
-19.59%Nov 10, 2021238Oct 20, 2022431Jul 11, 2024669
-15.83%Feb 24, 202018Mar 18, 202053Jun 3, 202071
-8.35%May 11, 200624Jun 14, 2006102Nov 7, 2006126
-8.28%Jan 23, 2015249Jan 19, 201648Mar 29, 2016297

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


Loading data...

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCGLDSHYTLTIJSVTIPortfolio
^GSPC1.000.06-0.20-0.260.820.990.73
GLD0.061.000.240.180.060.070.50
SHY-0.200.241.000.60-0.19-0.190.13
TLT-0.260.180.601.00-0.26-0.260.15
IJS0.820.06-0.19-0.261.000.850.77
VTI0.990.07-0.19-0.260.851.000.75
Portfolio0.730.500.130.150.770.751.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004

AI Insight on Diversification


The portfolio is moderately diversified, showing a mix of low and moderate correlations among its individual positions. The correlation matrix reveals that the two equity components, VTI (Total Stock Market ETF) and IJS (Small-Cap Value ETF), are highly correlated at 0.85, indicating a strong overlap in their market exposure, which could reduce diversification benefits within the equity portion. Conversely, the correlations between GLD (Gold ETF) and the equity positions (VTI and IJS) are quite low (0.07 and 0.06 respectively), and similarly low correlations exist between GLD and the bond positions (SHY and TLT), which supports diversification by including an asset class that behaves differently from stocks and bonds.

The bond components SHY (Short-Term Treasury ETF) and TLT (Long-Term Treasury ETF) have a moderate correlation of 0.6, reflecting their shared fixed income nature but differing duration risk. This moderate correlation helps balance risk without excessive overlap. The portfolio’s overall correlation with individual positions shows that it is most correlated with the equity positions (0.75 with VTI and 0.77 with IJS), indicating that equities dominate the portfolio’s risk and return profile. GLD has a moderate correlation with the portfolio at 0.5, while SHY and TLT have low correlations (0.13 and 0.15), suggesting their roles are more defensive or diversifying.

In summary, while the portfolio benefits from including distinct asset classes like gold and bonds that have low correlations with equities, the high correlation between the two equity ETFs suggests some concentration risk within the equity allocation. The portfolio is not overly concentrated but leans heavily on equities for its overall behavior, with bonds and gold providing diversification and risk mitigation.

Last updated May 17, 2025