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 (6y 11m 7d)
Returns (annualized)
| Portfolio | 7.60% |
| Benchmark | 7.28% |
Risk (annualized)
| Portfolio | 9.83% |
| Benchmark | 11.81% |
Sharpe (annualized)
| Portfolio | 0.54 |
| Benchmark | 0.44 |
Excess Return (annualized)
| 0.32% |
Tracking Error (annualized)
| 5.92% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.23% | 12.64% |
| Sortino Ratio | 0.52 | 0.42 |
| Calmar Ratio | 0.28 | 0.24 |
| Ulcer Index | 15.23 | 15.17 |
| Max Drawdown | 19.10% | 22.16% |
| VaR (99% Confidence) | $-2,285 | $-2,746 |
| VaR (99.9% Confidence) | $-3,035 | $-3,648 |
| 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
| 6.50 |
Skew
| -0.28 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.5851 | 0.5851 |
| Inflation Factor | 0.1072 | 0.1072 |
| Market Factor | 0.4189 | 0.4189 |
| Size Factor | 0.2224 | 0.2224 |
| U.S. Tilt (Non U.S.) | 0.0676 | 0.0676 |
| Yield Curve Factor | 0.0470 | 0.0470 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |