Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 25% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds, Short-Term Bond | 25% |
GLD SPDR Gold Shares | Gold, Precious Metals | 25% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 25% |
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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 Every year.
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Returns By Period
As of Jun 11, 2026, the Harry Browne Permanent Portfolio returned 0.31% Year-To-Date and 6.97% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.62% | -1.97% | 6.16% | 5.52% | 20.34% | 19.12% | 11.34% | 13.24% |
Portfolio Harry Browne Permanent Portfolio | -1.48% | -4.12% | 0.31% | 0.63% | 13.95% | 12.94% | 6.33% | 6.97% |
| Portfolio components: | ||||||||
GLD SPDR Gold Shares | -4.15% | -13.82% | -5.48% | -3.72% | 22.13% | 27.19% | 16.34% | 11.90% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.00% | -0.05% | 0.39% | 0.67% | 3.30% | 4.06% | 1.71% | 1.64% |
TLT iShares 20+ Year Treasury Bond ETF | -0.28% | -0.40% | -0.77% | -1.68% | 3.34% | -1.95% | -6.73% | -1.82% |
VTI Vanguard Total Stock Market ETF | -1.55% | -1.54% | 7.13% | 6.33% | 22.01% | 20.34% | 11.69% | 14.64% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 18, 2004, Harry Browne Permanent Portfolio's average daily return is +0.03%, while the average monthly return is +0.61%. At this rate, an investment would double in approximately 9.5 years.
Historically, 62% of months were positive and 38% were negative. The best month was Dec 2008 with a return of +7.0%, while the worst month was Oct 2008 at -8.0%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 8 months.
On a daily basis, Harry Browne Permanent Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +3.3%, while the worst single day was Mar 18, 2020 at -3.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.50% | 3.48% | -5.46% | 1.89% | 1.08% | -3.80% | 0.31% | ||||||
| 2025 | 2.68% | 1.57% | 0.87% | 1.24% | 0.53% | 2.09% | 0.09% | 2.23% | 5.20% | 2.03% | 1.93% | 0.21% | 22.60% |
| 2024 | -0.56% | 0.81% | 3.28% | -1.97% | 2.49% | 1.31% | 3.04% | 1.82% | 2.57% | -0.35% | 1.34% | -2.58% | 11.57% |
| 2023 | 5.27% | -3.39% | 4.27% | 0.64% | -1.08% | 1.10% | 1.02% | -1.50% | -4.39% | -0.01% | 5.57% | 3.97% | 11.43% |
| 2022 | -3.08% | 0.45% | -0.57% | -5.09% | -1.32% | -2.81% | 2.00% | -2.91% | -5.09% | 0.04% | 5.17% | -1.19% | -13.90% |
| 2021 | -1.79% | -2.16% | -0.55% | 2.82% | 1.96% | -0.16% | 1.98% | 0.72% | -2.76% | 2.76% | 0.03% | 1.37% | 4.11% |
Benchmark Metrics
Harry Browne Permanent Portfolio has an annualized alpha of 5.76%, beta of 0.17, and R2 of 0.20 versus S&P 500 Index. Calculated based on daily prices since November 18, 2004.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (32.89%) than losses (15.19%) - typical of diversified or defensive assets.
- Beta of 0.17 may look defensive, but with R2 of 0.20 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.20 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.76%
- Beta
- 0.17
- R²
- 0.20
- Upside Capture
- 32.89%
- Downside Capture
- 15.19%
Expense Ratio
Harry Browne Permanent Portfolio has an expense ratio of 0.18%, 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.
Return for Risk
Risk / Return Rank
Harry Browne Permanent Portfolio ranks 22 for risk / return — below 22% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Harry Browne Permanent Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.42 | 1.67 | -0.24 |
| Sortino ratioReturn per unit of downside risk | 1.88 | 2.28 | -0.40 |
| Omega ratioGain probability vs. loss probability | 1.27 | 1.30 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.81 | 2.25 | -0.43 |
| Martin ratioReturn relative to average drawdown | 5.63 | 10.14 | -4.51 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
GLD SPDR Gold Shares | 25 | 0.82 | 1.17 | 1.17 | 0.91 | 2.68 |
SHY iShares 1-3 Year Treasury Bond ETF | 87 | 2.50 | 4.08 | 1.51 | 3.73 | 14.87 |
TLT iShares 20+ Year Treasury Bond ETF | 15 | 0.35 | 0.57 | 1.06 | 0.44 | 1.08 |
VTI Vanguard Total Stock Market ETF | 61 | 1.77 | 2.41 | 1.32 | 2.48 | 11.17 |
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Dividends
Dividend yield
Harry Browne Permanent Portfolio provided a 2.34% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.34% | 2.34% | 2.37% | 1.95% | 1.41% | 0.74% | 0.97% | 1.54% | 1.60% | 1.28% | 1.31% | 1.28% |
| Portfolio components: | ||||||||||||
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.69% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
TLT iShares 20+ Year Treasury Bond ETF | 4.61% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VTI Vanguard Total Stock Market ETF | 1.05% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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.
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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 18.99%, occurring on Oct 20, 2022. Recovery took 393 trading sessions.
The current Harry Browne Permanent Portfolio drawdown is 6.44%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -18.99%Oct 2022 | 11mo 14d | 1y 6mo | 2y 6moNov 2021 - May 2024 |
Financial crisis2007–2009 | -13.99%Nov 2008 | 7mo 29d | 9mo 4d | 1y 4moMar 2008 - Aug 2009 |
COVID crash2020 | -11.14%Mar 2020 | 9d | 1mo 6d | 1mo 15dMar 2020 - Apr 2020 |
2016 pullback2016 | -8.03%Dec 2016 | 5mo 7d | 8mo 16d | 1y 1moJul 2016 - Aug 2017 |
2006 pullback2006 | -8.00%Jun 2006 | 1mo 4d | 4mo 28d | 6mo 2dMay 2006 - Nov 2006 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
Thesis
The portfolio is a clean bet on balance-sheet conservatism: one quarter gold, one quarter long Treasurys, one quarter cash-like short bills, and one quarter broad U.S. equities, which is an odd but coherent way to own several different kinds of uncertainty.
The numbers
- The diversification ratio is 1.41 over 1Y and rises to 1.78 since inception, putting the portfolio in the 59th to 93rd percentile range on the platform; that is real diversification, not decorative.
- Effective asset count is 4.0 of 4, so concentration is not the issue here.
- Pairwise correlations are modest overall at a 0.11 mean, though TLT (iShares 20+ Year Treasury Bond ETF) and SHY (iShares 1-3 Year Treasury Bond ETF) naturally travel together at 0.60.
What works
- GLD (SPDR Gold Shares), TLT, and SHY sit in different parts of the rate-and-liquidity stack, so the portfolio has several ways to absorb an equity shock.
- The long history improvement in DR suggests the sleeves have not all become the same trade at once, which is usually the hard part.
What does not
- TLT and SHY are both government-bond sleeves, so the portfolio carries a neat but real fixed-income redundancy.
- VTI (Vanguard Total Stock Market ETF) has only modest offsets from the other sleeves, so the equity quarter still does equity-quarter things.
Stress Scenario
- A reflationary shock with rising real yields and firmer growth would pressure TLT and often GLD together, while VTI may not fully compensate; the correlations that look politely negative on paper can get more synchronized in that regime.
Worth knowing
- Portfolios with this profile are often used to separate inflation, duration, and equity risk into distinct sleeves, which makes the thesis legible.
- The short-term bond sleeve keeps liquidity in the structure, but it also makes the bond side feel more deliberate than diversified.
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 4.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.39 | 1.51 | 1.53 | 1.64 | 1.78 |
The portfolio has a diversification ratio of 1.78, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Harry Browne Permanent Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.55 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Nov 18, 2004 | 0.43 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while TLT has the lowest at -0.24.
Asset Correlations Table
Find what Harry Browne Permanent Portfolio is missing
See which holdings overlap, where Harry Browne Permanent Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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