Golden Butterfly

Specification

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 19d)

Returns (annualized)

Portfolio 7.64%
Benchmark 7.36%

Risk (annualized)

Portfolio 9.77%
Benchmark 11.84%

Sharpe (annualized)

Portfolio 0.58
Benchmark 0.47

Excess Return (annualized)

0.27%

Tracking Error (annualized)

6.06%

Risk Free Rate (annualized)

2.22%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

6.13

Skew

-0.41
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Duration Factor 0.5905 0.5905
Inflation Factor 0.1060 0.1060
Market Factor 0.4134 0.4134
Size Factor 0.2270 0.2270
U.S. Tilt (Non U.S.) 0.0803 0.0803
Yield Curve Factor 0.0452 0.0452

Adjusted R2

Portfolio 0.91
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution