PortfoliosLab logo
Harry Browne Permanent Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 25%SHY 25%GLD 25%VTI 25%BondBondCommodityCommodityEquityEquity

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 11, 2025, the Harry Browne Permanent Portfolio returned 6.31% Year-To-Date and 6.18% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Harry Browne Permanent Portfolio6.31%3.53%4.03%13.55%5.31%6.18%
GLD
SPDR Gold Trust
26.73%4.96%23.75%40.30%14.04%10.19%
TLT
iShares 20+ Year Treasury Bond ETF
1.08%1.10%-3.86%0.64%-9.36%-0.54%
VTI
Vanguard Total Stock Market ETF
-3.75%7.98%-5.68%9.17%15.27%11.77%
SHY
iShares 1-3 Year Treasury Bond ETF
1.93%0.20%2.50%5.59%1.07%1.40%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.68%1.57%0.83%1.04%0.04%6.31%
2024-0.56%0.81%3.27%-2.04%2.46%1.29%3.02%1.81%2.52%-0.64%1.41%-2.62%11.03%
20235.27%-3.39%4.28%0.63%-1.08%1.11%0.93%-1.48%-4.35%-0.12%5.59%4.09%11.45%
2022-3.08%0.45%-0.57%-5.27%-1.29%-2.84%2.39%-3.03%-5.46%0.05%5.33%-1.44%-14.26%
2021-1.79%-2.16%-0.55%2.80%2.09%-0.27%2.04%0.60%-2.69%2.56%0.13%1.21%3.83%
20203.16%-0.18%-1.11%5.44%1.65%1.36%5.27%0.47%-1.88%-1.47%2.01%2.63%18.43%
20193.02%0.48%1.46%0.37%0.60%4.07%0.40%4.39%-1.18%0.96%0.05%0.86%16.46%
20181.23%-2.26%0.41%-0.70%0.98%-0.52%-0.11%0.77%-0.84%-2.01%1.10%0.77%-1.24%
20172.04%2.14%-0.24%1.14%0.71%-0.12%0.93%1.99%-0.89%0.33%0.99%1.27%10.74%
20161.50%3.68%1.34%1.27%-1.00%4.17%2.01%-1.07%-0.13%-2.39%-3.05%0.01%6.23%
20154.10%-1.89%-0.49%-0.74%-0.10%-1.78%-0.08%-0.89%-0.53%2.44%-1.78%-0.77%-2.65%
20141.68%2.91%-0.53%0.69%0.56%2.09%-1.27%2.37%-2.59%0.69%1.30%1.06%9.20%

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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 94, Harry Browne Permanent Portfolio is among the top 6% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Harry Browne Permanent Portfolio is 9494
Overall Rank
The Sharpe Ratio Rank of Harry Browne Permanent Portfolio is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of Harry Browne Permanent Portfolio is 9393
Sortino Ratio Rank
The Omega Ratio Rank of Harry Browne Permanent Portfolio is 9292
Omega Ratio Rank
The Calmar Ratio Rank of Harry Browne Permanent Portfolio is 9696
Calmar Ratio Rank
The Martin Ratio Rank of Harry Browne Permanent Portfolio is 9696
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
GLD
SPDR Gold Trust
2.393.301.425.3314.20
TLT
iShares 20+ Year Treasury Bond ETF
0.010.091.01-0.00-0.01
VTI
Vanguard Total Stock Market ETF
0.470.831.120.511.94
SHY
iShares 1-3 Year Treasury Bond ETF
3.345.701.745.7516.25

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.

Harry Browne Permanent Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 1.61
  • 5-Year: 0.62
  • 10-Year: 0.84
  • All Time: 0.94

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 0.41 to 0.94, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Harry Browne Permanent 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

Harry Browne Permanent Portfolio provided a 2.41% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.41%2.37%1.95%1.41%0.74%0.97%1.54%1.60%1.28%1.31%1.28%1.20%
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
4.35%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
1.35%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
SHY
iShares 1-3 Year Treasury Bond ETF
3.95%3.92%2.99%1.30%0.24%0.94%2.12%1.72%0.98%0.71%0.54%0.36%

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 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. Recovery took 393 trading sessions.

The current Harry Browne Permanent Portfolio drawdown is 0.63%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.44%Nov 10, 2021238Oct 20, 2022393May 15, 2024631
-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 chart below shows the rolling one-month volatility.


Loading data...

Diversification

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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCGLDSHYTLTVTIPortfolio
^GSPC1.000.06-0.20-0.260.990.44
GLD0.061.000.240.180.070.73
SHY-0.200.241.000.60-0.190.35
TLT-0.260.180.601.00-0.260.45
VTI0.990.07-0.19-0.261.000.44
Portfolio0.440.730.350.450.441.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004