Golden Butterfly
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
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 13d)
Returns (annualized)
| Portfolio | 7.97% |
| Benchmark | 7.69% |
Risk (annualized)
| Portfolio | 9.78% |
| Benchmark | 11.75% |
Sharpe (annualized)
| Portfolio | 0.58 |
| Benchmark | 0.48 |
Excess Return (annualized)
| 0.28% |
Tracking Error (annualized)
| 5.91% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.18% | 12.60% |
| Sortino Ratio | 0.55 | 0.44 |
| Calmar Ratio | 0.30 | 0.25 |
| Ulcer Index | 15.24 | 15.18 |
| Max Drawdown | 19.10% | 22.16% |
| VaR (99% Confidence) | $-2,275 | $-2,733 |
| VaR (99.9% Confidence) | $-3,022 | $-3,631 |
| 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
| 6.54 |
Skew
| -0.29 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.5860 | 0.5860 |
| Inflation Factor | 0.1084 | 0.1084 |
| Market Factor | 0.4183 | 0.4183 |
| Size Factor | 0.2223 | 0.2223 |
| U.S. Tilt (Non U.S.) | 0.0682 | 0.0682 |
| Yield Curve Factor | 0.0474 | 0.0474 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |