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Golden Butterfly Portfolio

Last updated Mar 2, 2024

The Golden Butterfly Portfolio is a variation of the Permanent Portfolio designed to provide a steady stream of returns in any market environment. Its assets are similar to the ones of the permanent portfolio but with the inclusion of small-cap value stocks.

Asset Allocation


SHY 20%TLT 20%GLD 20%VTI 20%IJS 20%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

20%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

20%

GLD
SPDR Gold Trust
Precious Metals, Gold

20%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

20%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

20%

S&P 500

Performance

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


240.00%260.00%280.00%300.00%320.00%340.00%OctoberNovemberDecember2024FebruaryMarch
284.60%
334.04%
Golden Butterfly Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns

As of Mar 2, 2024, the Golden Butterfly Portfolio returned 0.36% Year-To-Date and 5.95% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Golden Butterfly Portfolio0.36%1.44%6.11%7.61%7.00%5.94%
SHY
iShares 1-3 Year Treasury Bond ETF
0.13%-0.02%2.61%4.42%1.12%0.91%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.36%1.54%-3.93%-2.48%1.23%
VTI
Vanguard Total Stock Market ETF
7.45%3.96%14.35%27.20%14.06%11.98%
IJS
iShares S&P SmallCap 600 Value ETF
-2.90%2.25%4.14%-0.67%7.21%7.40%
GLD
SPDR Gold Trust
0.90%2.27%7.10%11.83%9.67%4.02%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.53%1.11%
2023-2.21%-4.74%-1.36%6.25%5.91%

Sharpe Ratio

The current Golden Butterfly Portfolio Sharpe ratio is 1.00. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.00

The Sharpe ratio of Golden Butterfly 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 Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.00
2.44
Golden Butterfly Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Golden Butterfly Portfolio granted a 1.93% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Golden Butterfly Portfolio1.93%1.85%1.42%0.90%0.97%1.56%1.63%1.31%1.29%1.34%1.24%1.29%
SHY
iShares 1-3 Year Treasury Bond ETF
3.21%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%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
1.34%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
IJS
iShares S&P SmallCap 600 Value ETF
1.46%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
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%

Expense Ratio

The Golden Butterfly Portfolio has a high expense ratio of 0.20%, indicating higher-than-average management fees. 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%0.25%
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%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Golden Butterfly Portfolio
1.00
SHY
iShares 1-3 Year Treasury Bond ETF
1.67
TLT
iShares 20+ Year Treasury Bond ETF
-0.14
VTI
Vanguard Total Stock Market ETF
2.31
IJS
iShares S&P SmallCap 600 Value ETF
0.04
GLD
SPDR Gold Trust
1.01

Asset Correlations Table

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

GLDSHYTLTIJSVTI
GLD1.000.240.180.050.06
SHY0.241.000.60-0.21-0.21
TLT0.180.601.00-0.29-0.29
IJS0.05-0.21-0.291.000.86
VTI0.06-0.21-0.290.861.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-4.18%
0
Golden Butterfly Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Golden Butterfly 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 Golden Butterfly Portfolio was 20.32%, occurring on Nov 20, 2008. Recovery took 205 trading sessions.

The current Golden Butterfly Portfolio drawdown is 4.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.32%May 21, 2008129Nov 20, 2008205Sep 16, 2009334
-19.59%Nov 10, 2021238Oct 20, 2022
-15.83%Feb 24, 202018Mar 18, 202053Jun 3, 202071
-8.35%May 11, 200624Jun 14, 2006102Nov 7, 2006126
-8.28%Jan 23, 2015249Jan 19, 201648Mar 29, 2016297

Volatility Chart

The current Golden Butterfly Portfolio volatility is 3.12%, 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
3.12%
3.47%
Golden Butterfly Portfolio
Benchmark (^GSPC)
Portfolio components
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