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Harry Browne Permanent Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


TLT 25%SHY 25%GLD 25%VTI 25%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
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%

S&P 500

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.


0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.03%

Asset Correlations Table

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

GLDVTISHYTLT
GLD1.000.060.240.18
VTI0.061.00-0.21-0.28
SHY0.24-0.211.000.60
TLT0.18-0.280.601.00

Performance

Performance Chart

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


200.00%250.00%300.00%OctoberNovemberDecember2024FebruaryMarch
237.50%
332.35%
Harry Browne Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Mar 16, 2024, the Harry Browne Permanent Portfolio returned 1.49% Year-To-Date and 5.00% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Harry Browne Permanent Portfolio1.49%2.47%7.84%7.72%5.87%5.06%
GLD
SPDR Gold Trust
4.47%7.18%11.33%8.67%10.00%4.52%
TLT
iShares 20+ Year Treasury Bond ETF
-5.41%0.51%1.35%-9.88%-3.26%0.91%
VTI
Vanguard Total Stock Market ETF
6.95%2.11%15.69%32.05%13.74%12.01%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.08%0.09%2.52%2.29%1.00%0.91%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.56%0.82%
2023-1.48%-4.35%-0.12%5.59%4.09%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Harry Browne Permanent Portfolio
1.16
GLD
SPDR Gold Trust
0.97
TLT
iShares 20+ Year Treasury Bond ETF
-0.53
VTI
Vanguard Total Stock Market ETF
2.65
SHY
iShares 1-3 Year Treasury Bond ETF
1.01

Sharpe Ratio

The current Harry Browne Permanent Portfolio Sharpe ratio is 1.16. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.16

The Sharpe ratio of Harry Browne Permanent Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
1.16
2.64
Harry Browne Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Harry Browne Permanent Portfolio granted a 2.06% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Harry Browne Permanent Portfolio2.06%1.95%1.41%0.74%0.97%1.54%1.60%1.28%1.31%1.28%1.20%1.32%
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%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
SHY
iShares 1-3 Year Treasury Bond ETF
3.22%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-3.52%
-1.12%
Harry Browne Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Harry Browne Permanent 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 Harry Browne Permanent Portfolio was 19.44%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Harry Browne Permanent Portfolio drawdown is 3.52%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.44%Nov 10, 2021238Oct 20, 2022
-15.11%Mar 18, 2008168Nov 12, 2008207Sep 10, 2009375
-11.14%Mar 9, 20208Mar 18, 202020Apr 16, 202028
-8.1%Oct 5, 2012180Jun 26, 2013180Mar 14, 2014360
-7.38%May 11, 200624Jun 14, 200698Nov 1, 2006122

Volatility

Volatility Chart

The current Harry Browne Permanent Portfolio volatility is 1.71%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
1.71%
3.36%
Harry Browne Permanent Portfolio
Benchmark (^GSPC)
Portfolio components
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