Harry Browne Permanent Portfolio
The permanent portfolio is an investment strategy developed by Harry Browne in the 1970s. It is designed to be a diversified, all-weather portfolio that can provide steady returns in any market environment.
The permanent portfolio is based on the idea that the financial markets are driven by four main factors: inflation, deflation, economic growth, and economic decline. Therefore, to achieve consistent returns in any market environment, Browne believed that it was necessary to diversify across asset classes that would perform well under each of these conditions.
The permanent portfolio consists of four main asset classes: stocks, bonds, gold, and cash. These asset classes are typically invested in through a combination of low-cost index funds or exchange-traded funds (ETFs). The portfolio is intended to provide a combination of growth and income while minimizing risk through diversification. It is typically rebalanced annually to maintain the desired asset allocation.
One of the key features of the permanent portfolio is that it is designed to be a long-term investment strategy. Browne believed that investors should hold their portfolio long-term rather than trying to time the market or constantly make changes to their investments. The goal of the permanent portfolio is to provide a consistent stream of returns over time rather than trying to achieve short-term gains.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 25% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 25% |
GLD SPDR Gold Trust | Precious Metals, Gold | 25% |
VTI Vanguard Total Stock Market ETF | Large Cap Growth Equities | 25% |
Performance
The chart shows the growth of an initial investment of $10,000 in Harry Browne Permanent Portfolio, 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
Returns
As of Oct 3, 2023, the Harry Browne Permanent Portfolio returned 0.77% Year-To-Date and 4.31% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -5.04% | 4.58% | 11.69% | 16.58% | 8.16% | 9.78% |
| Harry Browne Permanent Portfolio | -4.78% | -5.80% | 0.77% | 2.92% | 4.48% | 4.31% |
| Portfolio components: | ||||||
GLD SPDR Gold Trust | -5.81% | -9.75% | 0.01% | 7.08% | 8.41% | 2.98% |
TLT iShares 20+ Year Treasury Bond ETF | -8.06% | -17.48% | -10.53% | -13.59% | -3.23% | 0.45% |
VTI Vanguard Total Stock Market ETF | -5.24% | 5.14% | 12.23% | 17.16% | 9.22% | 11.17% |
SHY iShares 1-3 Year Treasury Bond ETF | -0.12% | -0.45% | 1.52% | 1.99% | 0.91% | 0.66% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 4.28% | 0.63% | -1.08% | 1.11% | 0.93% | -1.48% | -4.35% |
Dividend yield
Harry Browne Permanent Portfolio granted a 2.00% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Harry Browne Permanent Portfolio | 2.00% | 1.44% | 0.77% | 1.01% | 1.64% | 1.74% | 1.43% | 1.49% | 1.49% | 1.43% | 1.62% | 1.62% |
| Portfolio components: | ||||||||||||
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% |
TLT iShares 20+ Year Treasury Bond ETF | 3.68% | 2.73% | 1.57% | 1.60% | 2.45% | 2.91% | 2.76% | 3.03% | 3.11% | 3.27% | 4.10% | 3.48% |
VTI Vanguard Total Stock Market ETF | 1.58% | 1.68% | 1.25% | 1.48% | 1.88% | 2.21% | 1.88% | 2.15% | 2.27% | 2.06% | 2.07% | 2.58% |
SHY iShares 1-3 Year Treasury Bond ETF | 2.73% | 1.33% | 0.27% | 0.98% | 2.22% | 1.84% | 1.07% | 0.78% | 0.60% | 0.40% | 0.29% | 0.41% |
Expense Ratio
The Harry Browne Permanent Portfolio features an expense ratio of 0.18%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
GLD SPDR Gold Trust | 0.68 | ||||
TLT iShares 20+ Year Treasury Bond ETF | -0.73 | ||||
VTI Vanguard Total Stock Market ETF | 1.07 | ||||
SHY iShares 1-3 Year Treasury Bond ETF | 0.77 |
Asset Correlations Table
| GLD | VTI | SHY | TLT | |
|---|---|---|---|---|
| GLD | 1.00 | 0.06 | 0.24 | 0.18 |
| VTI | 0.06 | 1.00 | -0.22 | -0.30 |
| SHY | 0.24 | -0.22 | 1.00 | 0.59 |
| TLT | 0.18 | -0.30 | 0.59 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Harry Browne Permanent Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Harry Browne Permanent Portfolio is 19.44%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.44% | Nov 10, 2021 | 238 | Oct 20, 2022 | — | — | — |
| -15.11% | Mar 18, 2008 | 168 | Nov 12, 2008 | 207 | Sep 10, 2009 | 375 |
| -11.14% | Mar 9, 2020 | 8 | Mar 18, 2020 | 20 | Apr 16, 2020 | 28 |
| -8.1% | Oct 5, 2012 | 180 | Jun 26, 2013 | 180 | Mar 14, 2014 | 360 |
| -7.38% | May 11, 2006 | 24 | Jun 14, 2006 | 98 | Nov 1, 2006 | 122 |
Volatility Chart
The current Harry Browne Permanent Portfolio volatility is 1.78%, 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.