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Global Permanent Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Global Permanent Portfolio

Last updated Sep 20, 2024

Asset Allocation

BIL 8.34%CE31.L 8.34%SEGA.L 8.33%TLT 8.33%IGLT.L 8.33%ERNS.L 8.33%IAU 20%BTC-USD 5%VTI 12.5%IEFA 12.5%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
8.34%
BTC-USD
Bitcoin
5%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		European Government Bonds
8.34%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		Total Bond Market
8.33%
IAU
iShares Gold Trust		Precious Metals, Gold
20%
IEFA
iShares Core MSCI EAFE ETF		Foreign Large Cap Equities
12.50%
IGLT.L
iShares Core UK Gilts UCITS ETF		Government Bonds
8.33%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		European Government Bonds
8.33%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
8.33%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Global 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
8.05%
9.01%
Global Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 21, 2013, corresponding to the inception date of ERNS.L

Returns By Period

As of Sep 20, 2024, the Global Permanent Portfolio returned 13.58% Year-To-Date and 10.66% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.79%2.08%9.01%29.79%13.85%11.12%
Global Permanent Portfolio13.58%2.02%8.05%24.44%11.87%10.66%
Portfolio components:
VTI
Vanguard Total Stock Market ETF		19.74%2.53%9.19%31.01%14.87%12.56%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		-0.39%0.18%2.57%9.75%31.47%14.83%
IAU
iShares Gold Trust		25.26%2.90%18.49%33.54%11.09%7.64%
TLT
iShares 20+ Year Treasury Bond ETF		3.06%0.92%8.78%10.90%-4.62%1.03%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		3.84%0.46%2.63%5.40%2.17%1.48%
IGLT.L
iShares Core UK Gilts UCITS ETF		4.36%1.98%6.21%14.60%-3.45%-1.66%
IEFA
iShares Core MSCI EAFE ETF		12.05%2.68%6.28%20.56%7.81%5.63%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		2.36%0.28%3.42%8.64%0.16%-1.34%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		7.78%1.76%5.95%13.01%3.43%-0.64%
BTC-USD
Bitcoin		48.92%6.66%-3.90%131.98%44.42%65.75%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.01%2.87%4.00%-2.09%2.84%-0.18%3.01%1.66%13.58%
202311.88%-3.61%5.63%1.40%-2.18%2.21%1.27%-2.10%-3.86%1.84%5.72%4.42%23.77%
2022-2.57%0.62%-0.49%-6.13%-1.46%-5.25%3.99%-5.14%-5.82%2.00%6.07%-0.93%-14.85%
20210.52%0.66%1.92%2.24%1.04%-1.98%3.45%0.88%-3.40%4.20%-1.56%0.14%8.14%
20206.31%-2.31%-4.81%6.19%2.40%1.44%8.56%1.38%-2.45%0.25%5.81%7.53%33.54%
20192.81%1.15%0.72%1.91%3.04%7.10%-1.10%2.21%-0.79%2.71%-1.44%1.72%21.63%
20181.42%-2.50%-0.47%0.83%-2.33%-1.61%1.14%-1.09%-0.61%-2.67%-1.35%-0.01%-8.96%
20172.15%2.21%0.17%3.18%5.60%1.13%2.63%4.66%-0.87%2.63%5.74%4.43%39.07%
2016-0.61%2.87%2.43%1.89%-0.41%2.92%1.39%-0.92%0.22%-2.51%-2.13%2.14%7.31%
2015-0.45%0.22%-1.95%1.11%-0.45%-0.23%0.01%-2.07%-1.10%3.97%-0.98%0.29%-1.75%
20140.55%1.64%-1.23%0.78%1.80%2.18%-2.09%-0.01%-4.00%-0.93%0.90%-0.93%-1.52%
20130.76%24.59%-8.13%15.33%

Expense Ratio

Global Permanent Portfolio has an expense ratio of 0.12%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)
Expense ratio chart for CE31.L: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)
Expense ratio chart for SEGA.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF
Expense ratio chart for ERNS.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
IGLT.L
iShares Core UK Gilts UCITS ETF
Expense ratio chart for IGLT.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
IEFA
iShares Core MSCI EAFE ETF
Expense ratio chart for IEFA: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
VTI
Vanguard Total Stock Market ETF
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Global Permanent Portfolio is 76, placing it in the top 24% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Global Permanent Portfolio is 7676
Global Permanent Portfolio
The Sharpe Ratio Rank of Global Permanent Portfolio is 8585Sharpe Ratio Rank
The Sortino Ratio Rank of Global Permanent Portfolio is 8888Sortino Ratio Rank
The Omega Ratio Rank of Global Permanent Portfolio is 7777Omega Ratio Rank
The Calmar Ratio Rank of Global Permanent Portfolio is 4040Calmar Ratio Rank
The Martin Ratio Rank of Global Permanent Portfolio is 9191Martin 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.

Global Permanent Portfolio
Sharpe ratio
The chart of Sharpe ratio for Global Permanent Portfolio, currently valued at 2.65, compared to the broader market-1.000.001.002.003.004.002.65
Sortino ratio
The chart of Sortino ratio for Global Permanent Portfolio, currently valued at 3.80, compared to the broader market-2.000.002.004.006.003.80
Omega ratio
The chart of Omega ratio for Global Permanent Portfolio, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for Global Permanent Portfolio, currently valued at 1.72, compared to the broader market0.002.004.006.008.001.72
Martin ratio
The chart of Martin ratio for Global Permanent Portfolio, currently valued at 17.91, compared to the broader market0.0010.0020.0030.0017.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF		2.273.011.411.1213.50
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		0.410.631.080.061.60
IAU
iShares Gold Trust		2.833.731.492.6618.86
TLT
iShares 20+ Year Treasury Bond ETF		0.550.841.100.031.65
BIL
SPDR Barclays 1-3 Month T-Bill ETF		16.89396.96330.8476.087,782.96
IGLT.L
iShares Core UK Gilts UCITS ETF		1.001.421.180.064.34
IEFA
iShares Core MSCI EAFE ETF		1.492.051.260.708.96
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		0.761.131.140.033.50
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		1.862.641.350.1310.09
BTC-USD
Bitcoin		1.011.671.170.544.51

Sharpe Ratio

The current Global Permanent Portfolio Sharpe ratio is 2.65. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.88 to 2.55, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Global Permanent Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.504.00AprilMayJuneJulyAugustSeptember
2.65
2.23
Global Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Global Permanent Portfolio granted a 16.96% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Global Permanent Portfolio16.96%9.94%3.26%2.85%4.48%1.23%1.27%1.00%1.13%1.08%1.19%0.94%
Portfolio components:
VTI
Vanguard Total Stock Market ETF		1.30%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
SEGA.L
iShares Core Euro Government Bond UCITS ETF (Dist)		180.18%97.13%26.13%24.90%45.31%0.68%0.65%0.69%0.86%0.60%1.74%0.00%
IAU
iShares 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		3.65%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.23%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
IGLT.L
iShares Core UK Gilts UCITS ETF		2.92%2.40%1.32%0.79%0.95%1.25%1.31%1.30%1.88%2.05%2.04%2.14%
IEFA
iShares Core MSCI EAFE ETF		2.94%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%
CE31.L
iShares Euro Government Bond 1-3yr UCITS ETF (Acc)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		5.29%4.54%1.14%0.28%0.75%1.04%0.74%0.52%0.81%0.72%0.55%0.06%
BTC-USD
Bitcoin		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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember00
Global Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Global 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 Global Permanent Portfolio was 25.01%, occurring on Sep 27, 2022. Recovery took 443 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.01%Nov 10, 2021322Sep 27, 2022443Dec 14, 2023765
-15.22%Feb 24, 202024Mar 18, 202073May 30, 202097
-14.7%Dec 17, 2017370Dec 21, 2018182Jun 21, 2019552
-14.07%Nov 30, 2013644Sep 4, 2015577Apr 3, 20171221
-5.06%Sep 7, 202123Sep 29, 202137Nov 5, 202160

Volatility

Volatility Chart

The current Global Permanent Portfolio volatility is 2.49%, 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.

2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
2.49%
4.31%
Global Permanent Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BILBTC-USDTLTVTIIAUIEFAERNS.LIGLT.LCE31.LSEGA.L
BIL1.000.010.030.030.030.030.030.020.010.02
BTC-USD0.011.00-0.010.120.070.120.060.060.080.07
TLT0.03-0.011.00-0.170.30-0.140.020.390.130.33
VTI0.030.12-0.171.000.010.750.190.090.120.10
IAU0.030.070.300.011.000.130.280.340.340.37
IEFA0.030.12-0.140.750.131.000.350.210.310.25
ERNS.L0.030.060.020.190.280.351.000.620.560.47
IGLT.L0.020.060.390.090.340.210.621.000.490.63
CE31.L0.010.080.130.120.340.310.560.491.000.84
SEGA.L0.020.070.330.100.370.250.470.630.841.00
The correlation results are calculated based on daily price changes starting from Oct 22, 2013