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 (6y 28d)
Returns (annualized)
| Portfolio | 7.22% |
| Benchmark | 6.81% |
Risk (annualized)
| Portfolio | 9.77% |
| Benchmark | 11.83% |
Sharpe (annualized)
| Portfolio | 0.54 |
| Benchmark | 0.43 |
Excess Return (annualized)
| 0.41% |
Tracking Error (annualized)
| 6.05% |
Risk Free Rate (annualized)
| 2.24% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.10 |
Skew
| -0.41 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.5906 | 0.5906 |
| Inflation Factor | 0.1059 | 0.1059 |
| Market Factor | 0.4137 | 0.4137 |
| Size Factor | 0.2262 | 0.2262 |
| U.S. Tilt (Non U.S.) | 0.0798 | 0.0798 |
| Yield Curve Factor | 0.0449 | 0.0449 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |