Golden Butterfly Modified

Asset Allocation

Position	Category/Sector	Target Weight
SCHO Schwab Short-Term U.S. Treasury ETF	Government Bonds, Short-Term Bond	20%
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	20%
GLD SPDR Gold Shares	Gold, Precious Metals	20%
ITOT iShares Core S&P Total U.S. Stock Market ETF	Large Cap Blend Equities	20%
VBR Vanguard Small-Cap Value ETF	Small Cap Value Equities	20%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Golden Butterfly Modified, 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 13, 2026, the Golden Butterfly Modified returned 4.80% Year-To-Date and 8.31% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio Golden Butterfly Modified	0.28%	-0.70%	4.80%	4.65%	17.35%	13.79%	6.77%	8.31%
Portfolio components:
GLD SPDR Gold Shares	0.06%	-9.52%	-2.47%	-2.25%	22.21%	28.89%	17.08%	12.15%
ITOT iShares Core S&P Total U.S. Stock Market ETF	0.59%	-0.29%	9.69%	9.77%	26.29%	20.61%	12.20%	14.99%
SCHO Schwab Short-Term U.S. Treasury ETF	0.00%	0.18%	0.54%	0.82%	3.43%	4.25%	1.82%	1.71%
TLT iShares 20+ Year Treasury Bond ETF	-0.24%	1.40%	0.27%	0.45%	3.88%	-1.38%	-6.53%	-1.75%
VBR Vanguard Small-Cap Value ETF	0.87%	4.49%	14.60%	12.92%	29.93%	16.09%	8.36%	10.99%

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

Monthly Returns

Based on dividend-adjusted daily data since Aug 5, 2010, Golden Butterfly Modified's average daily return is +0.03%, while the average monthly return is +0.68%. At this rate, an investment would double in approximately 8.5 years.

Historically, 63% of months were positive and 37% were negative. The best month was Apr 2020 with a return of +7.0%, while the worst month was Sep 2022 at -6.4%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Golden Butterfly Modified closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +4.2%, while the worst single day was Mar 18, 2020 at -4.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.86%	3.38%	-5.34%	3.08%	1.16%	-1.12%							4.80%
2025	2.94%	0.52%	-0.36%	0.14%	1.53%	2.52%	0.43%	2.72%	3.88%	1.31%	1.75%	0.13%	18.88%
2024	-0.94%	1.44%	3.73%	-2.84%	2.82%	0.59%	4.15%	1.44%	2.33%	-0.69%	2.89%	-3.79%	11.30%
2023	6.02%	-3.13%	2.21%	0.30%	-1.54%	2.76%	1.82%	-1.88%	-4.45%	-1.07%	6.19%	5.26%	12.47%
2022	-3.33%	0.67%	-0.13%	-5.46%	-0.66%	-4.38%	3.86%	-3.00%	-6.39%	2.44%	5.37%	-2.34%	-13.22%
2021	-1.01%	0.10%	0.78%	3.05%	2.12%	-0.44%	1.32%	0.89%	-2.68%	2.96%	-0.50%	1.93%	8.68%

Benchmark Metrics

Golden Butterfly Modified has an annualized alpha of 3.55%, beta of 0.35, and R2 of 0.54 versus S&P 500 Index. Calculated based on daily prices since August 05, 2010.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (44.25%) than losses (39.62%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.55% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.35 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 3.55%

Beta: 0.35

R²: 0.54

Upside Capture: 44.25%

Downside Capture: 39.62%

See how alpha, beta & R² have trended over time →

Expense Ratio

Golden Butterfly Modified has an expense ratio of 0.13%, 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

VBR

Vanguard Small-Cap Value ETF

ITOT

iShares Core S&P Total U.S. Stock Market ETF

SCHO

Schwab Short-Term U.S. Treasury ETF

Return for Risk

Risk / Return Rank

Golden Butterfly Modified ranks 33 for risk / return — below 33% 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 Golden Butterfly Modified 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	1.77	1.86	-0.09
Sortino ratioReturn per unit of downside risk	2.41	2.53	-0.13
Omega ratioGain probability vs. loss probability	1.33	1.34	-0.01
Calmar ratioReturn relative to maximum drawdown	2.31	2.53	-0.22
Martin ratioReturn relative to average drawdown	8.02	11.37	-3.35

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	0.87	1.24	1.18	0.98	2.81
ITOT iShares Core S&P Total U.S. Stock Market ETF	67	1.96	2.66	1.35	2.80	12.50
SCHO Schwab Short-Term U.S. Treasury ETF	87	2.46	4.02	1.50	3.91	16.48
TLT iShares 20+ Year Treasury Bond ETF	13	0.30	0.50	1.06	0.38	0.92
VBR Vanguard Small-Cap Value ETF	64	1.83	2.67	1.31	3.17	11.22

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.

The current Golden Butterfly Modified Sharpe ratio is 1.77 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, 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 Golden Butterfly Modified 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

Golden Butterfly Modified provided a 2.23% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.23%	2.31%	2.36%	2.15%	1.54%	0.97%	1.17%	1.69%	1.74%	1.41%	1.40%	1.46%
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%
ITOT iShares Core S&P Total U.S. Stock Market ETF	0.99%	1.11%	1.23%	1.47%	1.66%	1.18%	1.41%	1.88%	2.14%	1.69%	1.83%	2.01%
SCHO Schwab Short-Term U.S. Treasury ETF	3.90%	4.06%	4.29%	3.76%	1.34%	0.41%	1.27%	2.27%	1.60%	1.12%	0.82%	0.68%
TLT iShares 20+ Year Treasury Bond ETF	4.56%	4.43%	4.30%	3.38%	2.67%	1.50%	1.50%	2.27%	2.63%	2.43%	2.60%	2.61%
VBR Vanguard Small-Cap Value ETF	1.71%	1.95%	1.98%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%

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 Golden Butterfly Modified. 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 Modified was 19.08%, occurring on Oct 20, 2022. Recovery took 359 trading sessions.

The current Golden Butterfly Modified drawdown is 2.53%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-19.08%Oct 2022	11mo 14d	1y 5mo	2y 4moNov 2021 - Mar 2024
COVID crash2020	-16.09%Mar 2020	23d	2mo 17d	3mo 10dFeb 2020 - Jun 2020
2016 pullback2016	-8.02%Jan 2016	12mo 1d	2mo 10d	1y 2moJan 2015 - Mar 2016
Rate-hike selloffLate 2018	-7.75%Dec 2018	10mo 29d	1mo 23d	1y 17dJan 2018 - Feb 2019
2026 pullback2026	-7.29%Mar 2026	23d	—	3mo 13dMar 2026 - now

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 5 assets, with an effective number of assets of 5.00, 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	1.43	1.49	1.51	1.60	1.69

The portfolio has a diversification ratio of 1.69, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Golden Butterfly Modified correlation to the S&P 500 Index

Golden Butterfly Modified has a 0.69 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.70
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Aug 5, 2010	0.69

Benchmark Correlations

Correlation vs. S&P 500 Index. ITOT has the highest benchmark correlation at 0.99, while TLT has the lowest at -0.23.

-0.23

-0.13

0.05

0.83

0.99

Portfolio Correlations

Correlation vs. Golden Butterfly Modified. VBR has the highest portfolio correlation at 0.72, while SCHO has the lowest at 0.22.

0.22

0.25

0.53

0.71

0.72

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	SCHO	TLT	VBR	ITOT
GLD	1.00	0.30	0.24	0.05	0.05
SCHO	0.30	1.00	0.55	-0.13	-0.13
TLT	0.24	0.55	1.00	-0.23	-0.23
VBR	0.05	-0.13	-0.23	1.00	0.86
ITOT	0.05	-0.13	-0.23	0.86	1.00

The correlation results are calculated based on daily price changes starting from Aug 5, 2010

Diversification Analysis

Find what Golden Butterfly Modified is missing

See which holdings overlap, where Golden Butterfly Modified is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification