Harry Browne Permanent Portfolio

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%
VOO Vanguard S&P 500 ETF	S&P 500	25%

Benchmark Against

Benchmark

S&P 500 Index

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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 Every 3 months.

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Returns By Period

As of Jun 9, 2026, the Harry Browne Permanent Portfolio returned 2.39% Year-To-Date and 7.30% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Harry Browne Permanent Portfolio	0.02%	-2.38%	2.39%	3.17%	15.65%	13.23%	6.59%	7.30%
Portfolio components:
GLD SPDR Gold Shares	0.26%	-8.41%	0.24%	3.07%	30.18%	29.71%	17.55%	12.56%
SHY iShares 1-3 Year Treasury Bond ETF	0.05%	-0.19%	0.34%	0.74%	3.33%	4.04%	1.70%	1.63%
TLT iShares 20+ Year Treasury Bond ETF	-0.52%	-1.31%	-1.08%	-1.51%	3.67%	-2.05%	-6.70%	-1.85%
VOO Vanguard S&P 500 ETF	0.25%	0.24%	8.72%	8.77%	24.91%	21.45%	13.49%	15.35%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 9, 2010, Harry Browne Permanent Portfolio's average daily return is +0.03%, while the average monthly return is +0.57%. At this rate, an investment would double in approximately 10.2 years.

Historically, 63% of months were positive and 37% were negative. The best month was Nov 2023 with a return of +5.5%, while the worst month was Mar 2026 at -5.5%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Harry Browne Permanent Portfolio closed higher 55% of trading days. The best single day was Nov 10, 2022 with a return of +3.2%, 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	3.47%	3.41%	-5.47%	2.12%	1.21%	-2.06%							2.39%
2025	2.60%	1.73%	0.89%	1.02%	0.68%	2.21%	0.11%	2.00%	4.85%	1.92%	1.60%	0.02%	21.38%
2024	-0.43%	0.79%	3.28%	-1.96%	2.52%	1.41%	2.83%	1.87%	2.55%	-0.69%	1.21%	-2.43%	11.31%
2023	5.11%	-3.42%	4.53%	0.76%	-1.06%	1.05%	0.83%	-1.40%	-4.33%	0.00%	5.54%	3.91%	11.51%
2022	-2.88%	0.32%	-0.44%	-5.18%	-1.17%	-2.86%	2.36%	-3.14%	-5.45%	0.05%	5.42%	-1.41%	-13.92%
2021	-1.96%	-2.27%	-0.31%	2.86%	2.14%	-0.32%	2.22%	0.63%	-2.74%	2.64%	0.31%	1.42%	4.50%

Benchmark Metrics

Harry Browne Permanent Portfolio has an annualized alpha of 4.45%, beta of 0.19, and R2 of 0.20 versus S&P 500 Index. Calculated based on daily prices since September 09, 2010.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (30.92%) than losses (21.10%) - typical of diversified or defensive assets.
Beta of 0.19 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: 4.45%

Beta: 0.19

R²: 0.20

Upside Capture: 30.92%

Downside Capture: 21.10%

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.

GLD

SPDR Gold Shares

TLT

iShares 20+ Year Treasury Bond ETF

SHY

iShares 1-3 Year Treasury Bond ETF

VOO

Vanguard S&P 500 ETF

Return for Risk

Risk / Return Rank

Harry Browne Permanent Portfolio ranks 26 for risk / return — below 26% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.70	1.94	-0.24
Sortino ratioReturn per unit of downside risk	2.23	2.63	-0.39
Omega ratioGain probability vs. loss probability	1.33	1.35	-0.02
Calmar ratioReturn relative to maximum drawdown	2.04	2.59	-0.55
Martin ratioReturn relative to average drawdown	6.86	11.84	-4.99
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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	33	1.13	1.51	1.23	1.51	3.78
SHY iShares 1-3 Year Treasury Bond ETF	86	2.51	4.11	1.51	3.76	15.12
TLT iShares 20+ Year Treasury Bond ETF	15	0.38	0.62	1.07	0.49	1.19
VOO Vanguard S&P 500 ETF	69	2.08	2.80	1.38	2.81	12.97

Sharpe Ratio

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 Jun 9, 2026 (values are recalculated daily):

1-Year: 1.70
5-Year: 0.77
10-Year: 0.96
All Time: 0.96

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 1.59 to 2.46, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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.

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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%	2.36%	1.96%	1.42%	0.75%	1.00%	1.57%	1.60%	1.30%	1.33%	1.31%
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	4.63%	4.43%	4.30%	3.38%	2.67%	1.50%	1.50%	2.27%	2.63%	2.43%	2.60%	2.61%
VOO Vanguard S&P 500 ETF	1.05%	1.13%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%

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 18.78%, occurring on Oct 20, 2022. Recovery took 367 trading sessions.

The current Harry Browne Permanent Portfolio drawdown is 4.39%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-18.78%Oct 2022	11mo 14d	1y 5mo	2y 5moNov 2021 - Apr 2024
COVID crash2020	-10.76%Mar 2020	9d	27d	1mo 6dMar 2020 - Apr 2020
2013 pullback2013	-8.27%Jun 2013	8mo 24d	11mo 27d	1y 8moOct 2012 - Jun 2014
2026 pullback2026	-7.72%Mar 2026	23d	—	3mo 8dMar 2026 - now
2016 pullback2016	-7.44%Dec 2016	5mo 7d	7mo 21d	1y 23dJul 2016 - Aug 2017

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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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. 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	1.40	1.52	1.54	1.65	1.74

The portfolio has a diversification ratio of 1.74, 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

Harry Browne Permanent Portfolio has a 0.55 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.55
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.54
Correlation (10Y) Calculated over the trailing 10-year period	0.48
Correlation (All Time) Calculated using the full available price history since Sep 9, 2010	0.40

Benchmark Correlations

Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while TLT has the lowest at -0.23.

-0.23

-0.10

0.05

1.00

Portfolio Correlations

Correlation vs. Harry Browne Permanent Portfolio. GLD has the highest portfolio correlation at 0.73, while VOO has the lowest at 0.41.

0.41

0.46

0.53

0.73

Asset Correlations Table

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

	GLD	SHY	VOO	TLT
GLD	1.00	0.33	0.05	0.23
SHY	0.33	1.00	-0.10	0.59
VOO	0.05	-0.10	1.00	-0.22
TLT	0.23	0.59	-0.22	1.00

The correlation results are calculated based on daily price changes starting from Sep 9, 2010

Diversification Analysis

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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