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
22 May 1998 – 25 April 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)
Performance
- Annualized Return
-
7%Golden Butterfly Portfolio
-
7.89%S&P 500 (US Large Cap)
- Sharpe Ratio
-
0.86Golden Butterfly Portfolio
-
0.49S&P 500 (US Large Cap)
- Maximum Drawdown
-
-20%Golden Butterfly Portfolio
-
-55.19%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 | $57,896 | $71,801 |
| Returns [View more details] | ||
| Month-To-Date | -2.12% | -3.74% |
| Year-To-Date | 2.29% | 6.26% |
| 3M | 4.05% | 4.16% |
| 6M | 13.66% | 19.7% |
| Annualized Return (3Y) | 1.8% | 8.09% |
| Annualized Return (5Y) | 6.32% | 13.23% |
| Annualized Return (All) | 7% | 7.89% |
| Risk [View more details] | ||
| Annual Volatility | 8.33% | 19.66% |
| Max Drawdown | -20% | -55.19% |
| Sharpe Ratio | 0.86 | 0.49 |
| Sortino Ratio | 1.22 | 0.69 |
| Adjusted Sortino (S/√2) | 0.86 | 0.49 |
- 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 April 2024.
- 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 26 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.
Annualized Returns
| Annual Return 1y | Annual Return 3y | Annual Return 5y | Annual Return 10y | Annual Return 20y | Annual Return | |
|---|---|---|---|---|---|---|
| Golden Butterfly Portfolio | 9.7% | 1.8% | 6.32% | 5.74% | 7.33% | 7% |
| S&P 500 (US Large Cap) | 25.78% | 8.09% | 13.23% | 12.45% | 9.89% | 7.89% |
Annual Returns
| Year | Golden Butterfly Portfolio | S&P 500 (US Large Cap) | Won |
|---|---|---|---|
| 1998 | 1.83% | 11.96% | |
| 1999 | 4.11% | 20.39% | |
| 2000 | 6.79% | -9.74% | |
| 2001 | 3.37% | -11.76% | |
| 2002 | 2.91% | -21.58% | |
| 2003 | 17.96% | 28.18% | |
| 2004 | 10.15% | 10.7% | |
| 2005 | 7.98% | 4.83% | |
| 2006 | 12.34% | 15.85% | |
| 2007 | 9.35% | 5.15% | |
| 2008 | -4.88% | -36.79% | |
| 2009 | 11.5% | 26.35% | |
| 2010 | 16.59% | 15.06% | |
| 2011 | 8.41% | 1.89% | |
| 2012 | 8.65% | 15.99% | |
| 2013 | 5.43% | 32.31% | |
| 2014 | 9.51% | 13.46% | |
| 2015 | -3.26% | 1.23% | |
| 2016 | 9.47% | 12% | |
| 2017 | 11.04% | 21.71% | |
| 2018 | -3.89% | -4.57% | |
| 2019 | 17.85% | 31.22% | |
| 2020 | 14.43% | 18.33% | |
| 2021 | 8.94% | 28.73% | |
| 2022 | -12.88% | -18.18% | |
| 2023 | 12.11% | 26.18% | |
| 2024 | 2.29% | 6.26% |
Golden Butterfly Portfolio had 23 positive years and 4 negative years. That's a positive ratio of 85%.
S&P 500 (US Large Cap) had 21 positive years and 6 negative years. That's a positive ratio of 78%.
Golden Butterfly Portfolio had a better yearly return 37% of the time compared to S&P 500 (US Large Cap).
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1998 | - | - | - | - | -0.6% | 1.5% | -2.8% | -5.9% | 4.4% | 1.7% | 2.3% | 1.6% | 1.8% |
| 1999 | 0.6% | -3.4% | 0.3% | 3.2% | -1.3% | 1.7% | -1.5% | -1.2% | 2.6% | 0.9% | 0.6% | 1.8% | 4.1% |
| 2000 | -2.2% | 2.9% | 1.5% | -1.1% | -1.2% | 3.3% | -0.3% | 3.3% | -1.2% | -0.4% | -2.2% | 4.5% | 6.8% |
| 2001 | 2% | -2.1% | -2.7% | 2.6% | 1.2% | 1% | 0.1% | -0.3% | -2.6% | 1.5% | 1.2% | 1.5% | 3.4% |
| 2002 | 0.8% | 1% | 1.9% | 1.4% | 0.4% | -2.2% | -4.8% | 2% | -1% | 0.1% | 2% | 1.5% | 2.9% |
| 2003 | -0.5% | -1.5% | -0.9% | 3.6% | 5.5% | -0.6% | -0.3% | 2.6% | 1.6% | 2% | 1.8% | 3.3% | 18% |
| 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% | 10.2% |
| 2005 | -1.4% | 1.1% | -1.1% | -0.1% | 1.7% | 2.3% | 0.9% | 0.5% | 0.9% | -1.6% | 3% | 1.7% | 8% |
| 2006 | 3.9% | 0% | 1% | 2.3% | -1.7% | -0.6% | 0.9% | 1.3% | 0.1% | 2.2% | 3.1% | -0.6% | 12.3% |
| 2007 | 1.1% | 0.9% | -0.2% | 1.8% | 0.5% | -1.4% | -0.9% | 1.4% | 3.2% | 2.6% | -1.2% | 1.1% | 9.4% |
| 2008 | 1.1% | 0% | -1% | 0.2% | 0.8% | -2.5% | 0.3% | -0.3% | -1.7% | -10.6% | 3% | 6.4% | -4.9% |
| 2009 | -6.3% | -4.5% | 3.3% | 3.2% | 3.3% | -1.1% | 4.4% | 2.6% | 3.8% | -1.6% | 5.2% | -0.8% | 11.5% |
| 2010 | -0.7% | 2.3% | 2.3% | 3.6% | -1.7% | -0.9% | 1.4% | 0.8% | 4.1% | 1.3% | 0.6% | 2.6% | 16.6% |
| 2011 | -1.4% | 3.1% | 0.7% | 3.5% | -0.3% | -1.8% | 1.5% | 2% | -3% | 4.6% | 0.8% | -1.3% | 8.4% |
| 2012 | 4.5% | 0.2% | 0% | 0.6% | -2.2% | 1.7% | 1.1% | 1.8% | 1.5% | -1.2% | 0.5% | -0% | 8.7% |
| 2013 | 1.7% | -0.1% | 1.9% | -0.1% | -1.3% | -3% | 3.5% | -1.1% | 1.4% | 2.1% | 0.1% | 0.4% | 5.4% |
| 2014 | 0.6% | 3.3% | -0.2% | 0.3% | 0.8% | 2.5% | -2% | 3% | -3.2% | 1.6% | 1.3% | 1.3% | 9.5% |
| 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% | -3.3% |
| 2016 | -0.2% | 3.2% | 2.8% | 1.5% | -0.6% | 3.5% | 2.5% | -0.8% | -0.1% | -2.6% | -0.6% | 0.6% | 9.5% |
| 2017 | 1.9% | 2.1% | -0.4% | 1% | 0.1% | 0.3% | 0.9% | 1.3% | 0.2% | 0.4% | 1.5% | 1.1% | 11% |
| 2018 | 1.4% | -2.8% | 0.5% | -0.5% | 1.7% | -0.4% | 0.5% | 1.2% | -1% | -3.7% | 1.4% | -2.1% | -3.9% |
| 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% | 17.9% |
| 2020 | 1.8% | -2.2% | -5.3% | 6% | 1.8% | 1.4% | 5% | 0.8% | -2.1% | -0.9% | 4.4% | 3.4% | 14.4% |
| 2021 | -1% | 0.1% | 0.7% | 3.2% | 2% | -0.3% | 1.1% | 1% | -2.7% | 3.2% | -0.7% | 2.2% | 8.9% |
| 2022 | -3.1% | 0.7% | -0.2% | -5.3% | -0.7% | -4.3% | 3.5% | -2.9% | -6.1% | 2.3% | 5.3% | -2.1% | -12.9% |
| 2023 | 5.9% | -3.1% | 2.2% | 0.3% | -1.5% | 2.5% | 1.9% | -1.9% | -4.5% | -1% | 6.2% | 5.2% | 12.1% |
| 2024 | -1.3% | 1.5% | 4.3% | -2.1% | - | - | - | - | - | - | - | - | 2.3% |
| Pos | 61.5% | 65.4% | 61.5% | 69.2% | 53.8% | 50% | 65.4% | 65.4% | 46.2% | 65.4% | 80.8% | 73.1% | 85.2% |
| Avg | 0.7% | 0.2% | 0.5% | 0.9% | 0.2% | 0.3% | 0.6% | 0.5% | -0.2% | 0.3% | 1.6% | 1.3% | 7% |
Other Return Metrics
| Metric | Golden Butterfly Portfolio | S&P 500 (US Large Cap) |
|---|---|---|
| Cumulative Return | 478.96% | 618.01% |
| Enh Ann Return | 7.32% | 9.99% |
| Best Year | 17.96% | 32.31% |
| Worst Year | -12.88% | -36.79% |
| Best Month | 6.4% | 12.7% |
| Worst Month | -10.61% | -16.52% |
| Best Day | 3.59% | 14.52% |
| Worst Day | -4.39% | -10.94% |
| Win Ratio (Yearly) | 85.19% | 77.78% |
| Win Ratio (Quarterly) | 70.48% | 69.52% |
| Win Ratio (Monthly) | 63.14% | 62.5% |
| Win Ratio (Daily) | 54.83% | 54.18% |
Annual Volatility
| Annual Volatility 1y | Annual Volatility 3y | Annual Volatility 5y | Annual Volatility 10y | Annual Volatility 20y | Annual Volatility | |
|---|---|---|---|---|---|---|
| Golden Butterfly Portfolio | 8.44% | 9.62% | 9.87% | 8.07% | 8.56% | 8.33% |
| S&P 500 (US Large Cap) | 11.67% | 17.32% | 20.96% | 17.51% | 18.99% | 19.66% |
Sharpe Ratio
| Sharpe Ratio 1y | Sharpe Ratio 3y | Sharpe Ratio 5y | Sharpe Ratio 10y | Sharpe Ratio 20y | Sharpe Ratio | |
|---|---|---|---|---|---|---|
| Golden Butterfly Portfolio | 1.14 | 0.23 | 0.67 | 0.73 | 0.87 | 0.86 |
| S&P 500 (US Large Cap) | 2.03 | 0.54 | 0.7 | 0.76 | 0.59 | 0.49 |
3-Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.
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 | days | Drawdown |
|---|---|---|---|---|
| 2008-05-21 | 2009-03-09 | 2009-09-15 | 482 | -20% |
| 2021-11-10 | 2022-10-20 | 2024-03-27 | 868 | -18.79% |
| 2020-02-24 | 2020-03-18 | 2020-07-14 | 141 | -16.28% |
| 1998-07-17 | 1998-08-31 | 1998-12-31 | 167 | -8.94% |
| 2002-05-06 | 2002-07-23 | 2003-05-09 | 368 | -8.93% |
The Golden Butterfly Portfolio took approximately 14 months on average to recover from a major drawdown. The longest drawdown lasted 29 months.
S&P 500 (US Large Cap)
| start | valley | end | days | Drawdown |
|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-08-16 | 1772 | -55.19% |
| 2000-03-27 | 2002-10-09 | 2006-10-26 | 2404 | -47.52% |
| 2020-02-20 | 2020-03-23 | 2020-08-10 | 172 | -33.72% |
| 2022-01-04 | 2022-10-12 | 2023-12-13 | 708 | -24.5% |
| 2018-09-21 | 2018-12-24 | 2019-04-12 | 203 | -19.35% |
The S&P 500 (US Large Cap) took approximately 35 months on average to recover from a major drawdown. The longest drawdown lasted 80 months.
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.
Other Risk Metrics
| Metric | Golden Butterfly Portfolio | S&P 500 (US Large Cap) |
|---|---|---|
| Sharpe Ratio | 0.86 | 0.49 |
| Sortino Ratio | 1.22 | 0.69 |
| Adjusted Sortino (S/√2) | 0.86 | 0.49 |
| Calmar Ratio | 0.35 | 0.14 |
| Omega Ratio | 1.16 | 1.1 |
| Gain to Pain Ratio | 0.16 | 0.1 |
| Winckel Ratio | 62.96 | 59.26 |
| Ulcer Index | 0.04 | 0.16 |
| Kelly Criterion | 7.53% | 4.75% |
| Skew | -0.26 | -0.02 |
| Kurtosis | 4.52 | 10.8 |
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