Golden Butterfly
Specification
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
| Simple 60/40 |
Description
The Golden Butterfly portfolio is based on the construction shown over at Risk Parity Chronicles as part of their suite of test portfolios. It’s intended as a portfolio that can keep up with a classic 60-40 portfolio at a fraction of the risk. The five-asset equal-weight construction makes this an approachable, low-maintenance portfolio for the masses.
It’s worth noting the U.S. and small-cap biased equity allocation may drive tracking error against a global market cap benchmark.
Policy Report
Backtest Report
From to (5y 9m 27d)
Returns (annualized)
| Portfolio | 6.67% |
|---|---|
| Benchmark | 6.30% |
Risk (annualized)
| Portfolio | 9.81% |
|---|---|
| Benchmark | 11.99% |
Sharpe (annualized)
| Portfolio | 0.49 |
|---|---|
| Benchmark | 0.40 |
Excess Return (annualized)
| 0.37% |
Tracking Error (annualized)
| 6.09% |
Risk Free Rate (annualized)
| 2.10% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.24 |
Skew
| -0.41 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.5895 | 0.5895 |
| Inflation Factor | 0.1054 | 0.1054 |
| Market Factor | 0.4132 | 0.4132 |
| Size Factor | 0.2249 | 0.2249 |
| U.S. Tilt (Non U.S.) | 0.0825 | 0.0825 |
| Yield Curve Factor | 0.0452 | 0.0452 |
Adjusted R2
| Portfolio | 0.92 |
|---|---|
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |