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 3m 21d)
Returns (annualized)
Portfolio | 7.98% |
Benchmark | 7.52% |
Risk (annualized)
Portfolio | 9.72% |
Benchmark | 11.73% |
Sharpe (annualized)
Portfolio | 0.60 |
Benchmark | 0.48 |
Excess Return (annualized)
0.45% |
Tracking Error (annualized)
5.98% |
Information Ratio
0.08 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 10.13% | 12.61% |
Sortino Ratio | 0.58 | 0.45 |
Calmar Ratio | 0.31 | 0.25 |
Ulcer Index | 15.20 | 15.13 |
Max Drawdown | 19.10% | 22.16% |
VaR (99% Confidence) | $-2,260 | $-2,727 |
VaR (99.9% Confidence) | $-3,002 | $-3,623 |
Beta to Benchmark | 0.71 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
6.01 |
Skew
-0.40 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Duration Factor | 0.5905 | 0.5905 |
Inflation Factor | 0.1045 | 0.1045 |
Market Factor | 0.4149 | 0.4149 |
Size Factor | 0.2261 | 0.2261 |
U.S. Tilt (Non U.S.) | 0.0789 | 0.0789 |
Yield Curve Factor | 0.0450 | 0.0450 |
Adjusted R2
Portfolio | 0.91 |
Benchmark | 0.99 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |