Golden Butterfly Portfolio

New York Stock Exchange
USD

The Golden Butterfly Portfolio consists of the following asset allocation:

  • 20% Total Stock Market
  • 20% Small Cap Value
  • 20% Long Term Bonds
  • 20% Short Term Bonds
  • 20% Gold
21 May 1998  –  24 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
7.73%
Golden Butterfly Portfolio
8.23%
S&P 500 (US Large Cap)
Sharpe Ratio
0.96
Golden Butterfly Portfolio
0.5
S&P 500 (US Large Cap)
Maximum Drawdown
-20%
Golden Butterfly Portfolio
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric Golden Butterfly Portfolio S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $57,594 $64,249
Returns
Month-To-Date 1.13% 2.22%
Year-To-Date 8.59% 26.8%
3M 2.17% 5.3%
6M 4.1% 12.73%
Annual Return (1Y) 11.49% 33.19%
Annual Return (3Y) 13.34% 23.47%
Annual Return (5Y) 9.36% 18.44%
Annual Return (10Y) 7.79% 17.24%
Annual Return (All) 7.73% 8.23%
Enh Ann Return 7.86% 10.59%
Best Year 17.87% 32.31%
Worst Year -4.88% -36.81%
Risk
Annual Volatility 8.12% 19.77%
Max Drawdown -20% -55.2%
Sharpe Ratio 0.96 0.5
Sortino Ratio 1.37 0.71
Adjusted Sortino (S/√2) 0.97 0.5
Ulcer Index 0.03 0.17
Gain to Pain Ratio 0.18 0.1

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on May 1998.
  • Final balance: The amount of capital we've accrued over time as of November 2021.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 24 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Golden Butterfly Portfolio S&P 500 (US Large Cap) Won
1998 1.48% 11.52%
1999 4.21% 20.39%
2000 6.81% -9.73%
2001 3.31% -11.75%
2002 2.98% -21.59%
2003 17.87% 28.18%
2004 10.15% 10.7%
2005 7.98% 4.83%
2006 12.34% 15.85%
2007 9.35% 5.14%
2008 -4.88% -36.81%
2009 11.5% 26.37%
2010 16.59% 15.06%
2011 8.4% 1.89%
2012 8.7% 15.99%
2013 5.42% 32.31%
2014 9.51% 13.46%
2015 -3.26% 1.25%
2016 9.4% 12%
2017 11.03% 21.7%
2018 -3.89% -4.56%
2019 17.85% 31.22%
2020 14.44% 18.37%
2021 8.59% 26.8%

Golden Butterfly Portfolio had 21 positive years and 3 negative years. That's a positive ratio of 88%.

S&P 500 (US Large Cap) had 19 positive years and 5 negative years. That's a positive ratio of 79%.

Golden Butterfly Portfolio had a better yearly return 38% of the time compared to S&P 500 (US Large Cap).

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1998 0% 0% 0% 0% -0.8% 1.5% -2.8% -6% 4.5% 1.7% 2.3% 1.5% 1.7%
1999 0.6% -3.4% 0.2% 3.2% -1.3% 1.9% -1.5% -1.2% 2.6% 0.9% 0.6% 1.7% 4.4%
2000 -2.1% 2.9% 1.5% -1.3% -1% 3.1% -0.3% 3.5% -1.2% -0.4% -2.2% 4.5% 7%
2001 2% -2.1% -2.7% 2.6% 1.2% 1% 0.1% -0.3% -2.6% 1.5% 1.2% 1.5% 3.6%
2002 0.8% 1% 1.9% 1.4% 0.4% -2.2% -4.8% 2% -1% 0.1% 1.7% 1.8% 3.2%
2003 -0.5% -1.5% -0.9% 3.6% 5.5% -0.5% -0.3% 2.6% 1.6% 2% 1.8% 3.2% 16.7%
2004 0.7% 1.2% 1.8% -4.7% 0.8% 1.8% -1.4% 2.1% 1.6% 1.5% 3.1% 1.4% 9.9%
2005 -1.4% 1.1% -1.1% -0.1% 1.7% 2.3% 0.9% 0.5% 0.9% -1.6% 3% 1.7% 7.9%
2006 3.8% 0% 1% 2.3% -1.7% -0.6% 0.9% 1.3% 0.1% 2.1% 3.1% -0.5% 12%
2007 1% 1% -0.1% 1.8% 0.6% -1.4% -0.9% 1.4% 3.2% 2.6% -1.2% 1.1% 9.3%
2008 1.1% 0% -0.9% 0.2% 0.8% -2.5% 0.3% -0.3% -1.7% -10.6% 3% 6.4% -4.1%
2009 -6.2% -4.5% 3.3% 3.2% 3.3% -1% 4.4% 2.5% 3.8% -1.6% 5.2% -0.8% 11.8%
2010 -0.7% 2.3% 2.3% 3.6% -1.6% -0.9% 1.4% 0.8% 4% 1.3% 0.6% 2.6% 15.7%
2011 -1.3% 3.1% 0.7% 3.5% -0.3% -1.8% 1.5% 2% -3% 4.6% 0.7% -1.3% 8.5%
2012 4.5% 0.2% 0% 0.6% -2.2% 1.7% 1.1% 1.8% 1.5% -1.2% 0.5% -0% 8.5%
2013 1.7% -0.1% 1.9% -0.1% -1.3% -3% 3.5% -1.1% 1.4% 2.1% 0.1% 0.4% 5.5%
2014 0.6% 3.3% -0.2% 0.3% 0.8% 2.5% -2% 3% -3.2% 1.6% 1.3% 1.2% 9.2%
2015 2.6% -0.4% -0.1% -0.9% 0.2% -1.7% -0.3% -1.7% -1.2% 3.2% -1.1% -1.6% -3.1%
2016 -0.2% 3.2% 2.8% 1.5% -0.6% 3.4% 2.5% -0.8% -0.1% -2.6% -0.6% 0.6% 9.2%
2017 1.9% 2.1% -0.3% 1% 0.1% 0.3% 0.9% 1.3% 0.2% 0.4% 1.4% 1.1% 10.6%
2018 1.4% -2.8% 0.5% -0.5% 1.7% -0.4% 0.5% 1.2% -1% -3.7% 1.4% -2% -3.8%
2019 4.7% 1.2% 0.7% 1.2% -1.5% 4.7% 0.5% 2.3% -0.2% 1.1% 0.6% 1.3% 16.6%
2020 1.8% -2.1% -5.3% 6% 1.8% 1.4% 5% 0.8% -2.1% -0.8% 4.4% 3.3% 14.3%
2021 -1% 0.1% 0.7% 3.2% 2% -0.3% 1.1% 1% -2.7% 3.2% 1.1% 0% 8.5%
Pos 65.2% 65.2% 60.9% 73.9% 58.3% 50% 62.5% 70.8% 50% 66.7% 83.3% 73.9% 87.5%
Avg 0.7% 0.3% 0.3% 1.4% 0.4% 0.4% 0.4% 0.8% 0.2% 0.3% 1.3% 1.3% 7.6%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolios/assets in question.

Golden Butterfly Portfolio

start valley end Drawdown days
2008-05-21 2009-03-09 2009-09-15 -20% 482
2020-02-24 2020-03-18 2020-07-14 -16.28% 141
1998-07-17 1998-08-31 1998-12-31 -9.22% 167
2002-05-06 2002-07-23 2003-05-09 -8.92% 368
2015-04-16 2016-01-19 2016-04-13 -8.55% 363

The Golden Butterfly Portfolio took approximately 10 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
2018-09-21 2018-12-24 2019-04-12 -19.34% 203
1998-07-21 1998-08-31 1998-11-23 -19.03% 125

The S&P 500 (US Large Cap) took approximately 31 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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