Golden Butterfly
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio 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 (7y 2m 1d)
Returns (annualized)
| Portfolio | 8.20% |
| Benchmark | 7.92% |
Risk (annualized)
| Portfolio | 9.75% |
| Benchmark | 11.67% |
Sharpe (annualized)
| Portfolio | 0.60 |
| Benchmark | 0.49 |
Excess Return (annualized)
| 0.28% |
Tracking Error (annualized)
| 5.88% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.12% | 12.50% |
| Sortino Ratio | 0.58 | 0.46 |
| Calmar Ratio | 0.31 | 0.26 |
| Ulcer Index | 15.25 | 15.19 |
| Max Drawdown | 19.10% | 22.16% |
| VaR (99% Confidence) | $-2,266 | $-2,714 |
| VaR (99.9% Confidence) | $-3,011 | $-3,605 |
| Beta to Benchmark | 0.72 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.53 |
Skew
| -0.28 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Duration Factor | 0.5879 | 0.3338 | 0.2541 |
| Inflation Factor | 0.1094 | 0.0308 | 0.0786 |
| Market Factor | 0.4181 | 0.6197 | -0.2016 |
| Size Factor | 0.2221 | 0.0152 | 0.2069 |
| U.S. Tilt (Non U.S.) | 0.0676 | -0.0138 | 0.0814 |
| Yield Curve Factor | 0.0467 | 0.0210 | 0.0257 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |