Harry Browne Permanent Portfolio

New York Stock Exchange
USD

The Permanent Portfolio is an investment portfolio developed in 1982 by Harry Browne, an influential American writer, politician, and investment advisor.

The portfolio is based on a long-term investment philosophy with a goal to protect the investor from volatility through diversifying across 4 different asset classes: U.S. stocks, long-term bonds, cash, and gold.

The investment portfolio equal weights these assets resulting in a very conservative portfolio for risk-averse investors who prefer low volatility but still want exposure to equities.

The portfolio is weighted as follow:

  • 25% US Total Stock Market
  • 25% US Long-Term Treasuries
  • 25% US Treasury Bills
  • 25% Gold
31 December 1926  –  26 November 2021

Performance

Annualized Return
6.65%
Sharpe Ratio
1.36
Maximum Drawdown
-27.61%

Metrics

Metric Harry Browne Permanent Portfolio
Initial Balance $10,000
Final Balance $4,526,402
Returns
Month-To-Date 0.38%
Year-To-Date 3.2%
3M 1.02%
6M 3.1%
Annual Return (1Y) 5.63%
Annual Return (3Y) 12.06%
Annual Return (5Y) 8.6%
Annual Return (10Y) 5.76%
Annual Return (All) 6.65%
Enh Ann Return 6.68%
Best Year 40.17%
Worst Year -12.62%
Risk
Annual Volatility 4.76%
Max Drawdown -27.61%
Sharpe Ratio 1.36
Sortino Ratio 2.03
Adjusted Sortino (S/√2) 1.44
Ulcer Index 0.04
Gain to Pain Ratio 0.35

  • 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 December 1926.
  • 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 95 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 Harry Browne Permanent Portfolio
1926 0%
1927 9.91%
1928 12.12%
1929 -0.11%
1930 -4.52%
1931 -12.62%
1932 6.09%
1933 24.4%
1934 5.83%
1935 12.86%
1936 10.38%
1937 -8.65%
1938 7.13%
1939 2.75%
1940 0.29%
1941 -2.23%
1942 5.04%
1943 7.6%
1944 6.46%
1945 11.39%
1946 -1.32%
1947 0.5%
1948 1.74%
1949 4.94%
1950 8.54%
1951 5.61%
1952 4.17%
1953 1.18%
1954 14.27%
1955 5.28%
1956 2.25%
1957 0.5%
1958 9.93%
1959 2.7%
1960 2.93%
1961 8.22%
1962 0.22%
1963 6.09%
1964 5.92%
1965 4.49%
1966 0.51%
1967 6.31%
1968 8.11%
1969 -6.36%
1970 6.93%
1971 12.65%
1972 17.9%
1973 16.04%
1974 13.01%
1975 5.67%
1976 11.22%
1977 6%
1978 14.08%
1979 40.17%
1980 14.75%
1981 -5.2%
1982 22.45%
1983 4.69%
1984 2.23%
1985 19.44%
1986 15.47%
1987 4.89%
1988 3.49%
1989 8.79%
1990 2.19%
1991 12.12%
1992 3.2%
1993 12.28%
1994 -1.15%
1995 18.07%
1996 4.87%
1997 7.21%
1998 10.13%
1999 5.08%
2000 2.34%
2001 -0.01%
2002 5.95%
2003 13.2%
2004 6.92%
2005 9.31%
2006 10.75%
2007 12.57%
2008 0.89%
2009 7.92%
2010 13.99%
2011 11.2%
2012 6.23%
2013 -2.16%
2014 9.33%
2015 -3.03%
2016 5.55%
2017 10.98%
2018 -1.74%
2019 16.24%
2020 16.09%
2021 3.2%

Harry Browne Permanent Portfolio had 82 positive years and 13 negative years. That's a positive ratio of 86%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1926 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1927 0.2% 1.3% 0.3% 1% 1% -0.4% 1.5% 1.6% 1.6% -1% 2.2% 0.4% 9.4%
1928 0.4% -0.1% 2% 1.9% 0.6% -0.3% -0.3% 2% 0.7% 0.8% 3.7% 0.3% 11.4%
1929 1.6% 0.3% 0.4% 0.5% -1.1% 2% 2.3% 0.7% 0.7% -5.1% -1% -1.2% -0.1%
1930 1.5% 0.9% 2.2% -0.5% -2% -2% 1.3% -1.2% -1.3% -1.7% -0.7% -0.8% -4.6%
1931 0.7% 0.7% 0.7% -2.8% -0.2% -0.2% -1.8% -0.1% -7% -0.3% -0.3% -2.6% -13.5%
1932 1.1% 1.1% -2.1% -3.3% -3.5% 0.6% 7% 7.2% 0% -2.5% -0.3% 1.3% 5.9%
1933 1.3% -3.4% 1.4% 7.8% 8.3% 4.9% -3% 4.5% -2.6% -2.8% 3.7% 2.8% 21.9%
1934 2.4% -0.2% 0.3% 0.2% -1.3% -0.5% -0.5% 1.8% 0.3% 0.3% 2.4% 0.6% 5.7%
1935 -0.7% -0.4% 0.7% 0.7% 1% 1.8% 2% 0.9% 0.8% 2.2% 1.6% 1.6% 12.1%
1936 1.9% 0.7% 0.7% -2% 1.1% 1.2% 2% 0.4% 0.4% 1.7% 1.6% 0.2% 9.9%
1937 0.4% 0.4% 0.4% -1.9% -0.1% -1% 0.4% 0.4% -3.3% -1.8% -1.9% -0.8% -9%
1938 0.3% 1.6% -6.2% 1.2% 1.2% 5.7% 0.7% 0.8% 0.4% 2.3% -0.4% -0.2% 6.9%
1939 -0.2% 1% -2.9% 0.8% 0.9% -1.2% 2.5% -1.5% 2% 2.1% -0.9% 0.2% 2.7%
1940 0.2% 0.5% 0.4% 0.4% -5.5% 1.1% 1.3% 0.7% 0.6% 0.9% 0% 0% 0.3%
1941 -1.1% -0.3% 0.3% -1.3% 0.9% 0.9% 1.5% -0.1% -0.1% -1.2% -0.7% -0.8% -2.3%
1942 -0.6% -0.6% -0.6% -1% 1% 1.1% 0.9% 0.5% 0.8% 1% 0.9% 1.5% 4.9%
1943 1.7% 1.6% 1.8% 0.3% 1.7% 0.6% -0.5% -0.5% 0.8% -1% -1% 1.9% 7.3%
1944 0.5% 0.2% 0.8% 0.5% 0.6% 1.6% -0.3% 0.5% 0.2% 0.2% 0.6% 0.9% 6.3%
1945 0.9% 1.7% 0.6% 0.6% 0.6% -0.2% -0.2% 1.8% 1.3% 1.5% 1.7% 0.5% 10.8%
1946 1.6% -1.5% 1.3% 1.3% 1.1% -0.8% -0.9% -2.1% -2.1% -0.3% 0.6% 0.6% -1.3%
1947 0.3% -0.3% -0.4% -1.2% 0.5% 0.4% 1% -0.3% -0.3% 0.6% 0.1% 0.1% 0.5%
1948 0.1% 0% 0.1% 1.1% 2% 0.1% -0.5% -0.5% -0.7% -0.4% -0.4% 1% 1.7%
1949 0.1% -0.7% 1.1% -0.5% -0.6% 0.1% 1% 1.1% 0.9% 0.9% 0.5% 1% 4.8%
1950 0.9% 0.4% 0.4% 1.1% 1.3% -1.6% 0.4% 1.4% 0.7% 0.7% 0.9% 1.7% 8.2%
1951 1.5% 0.4% 0.4% 0.4% -0.6% 0.6% 0.6% 1.2% -0.2% -0.2% 0.2% 1% 5.5%
1952 0.5% -0.6% 1.2% -1.2% 1% 1% 0.3% -0.3% -0.3% -0.1% 1.2% 1.3% 4.1%
1953 -0.1% -0.1% -0.1% -0.6% -0% -0% 0.7% -1% 0.2% 1% 1% 0.1% 1.2%
1954 1% 1% 1.1% 1.3% 1% 0.4% 0.5% 0.5% 2% 1.3% 1.3% 1.9% 13.3%
1955 0.1% 0.7% -0.1% 0.5% 0.5% 1.8% 0.3% 0.3% -0.1% -0.7% 2% -0.2% 5.1%
1956 -0.2% 1% 0.9% 0.9% -1.4% 1.1% 1.1% -0.9% -0.6% -0.7% 0.1% 0.9% 2.2%
1957 -0.6% -0.2% 1.1% 1.1% 1.2% 0.3% 0.3% -1.1% -1.1% -0.7% 0.1% 0.1% 0.5%
1958 1.1% -0.5% 0.8% 0.7% 0.6% 0.6% 1.2% 0.9% 0.9% 0.7% 1.2% 1.3% 9.5%
1959 0.2% 0.1% 0.2% 1% 0.2% 0.2% 0.9% -0.4% -1.3% 0.4% 0.4% 0.7% 2.7%
1960 -0.5% -0.5% -0.1% 0.4% 0.4% 0.8% 0.3% 0.3% -1.2% 0.1% 1.3% 1.6% 2.9%
1961 1.6% 1.1% 1% 0.6% 0.6% -0.6% 1% 0.9% 0.3% 0.3% 1.5% -0.3% 7.9%
1962 -0.3% 0.7% -0.7% -0.7% -1.8% -0.1% -0.1% 0.7% -0.3% -0.3% 2.5% 0.5% 0.2%
1963 1.3% -0.5% 1.1% 1.1% 0.6% -0.2% -0.2% 0.6% 0.6% 0.9% 0.3% 0.3% 5.9%
1964 0.8% 0.6% 0.6% 0.3% 0.6% 0.6% 0.7% -0.2% 0.9% 0.3% 0.3% 0.3% 5.8%
1965 0.3% 0.3% 0.4% 0.9% -0% -1.2% 0.7% 0.7% 0.9% 0.5% 0.5% 0.4% 4.4%
1966 0.4% -0.1% -0.4% -0.2% -0.2% -0.1% -0.8% -0.9% 0% 1.1% 0.5% 1.2% 0.5%
1967 1.2% 0.4% 1.3% 0.1% 0.1% 0.8% 1.4% -0% 0.2% 0.2% 0.3% 0% 6.1%
1968 0.1% -0.6% 1.3% 2.2% 2.6% -0.7% -1.3% 1.4% 0.7% -0.1% 0.8% 1.6% 7.8%
1969 0.2% -1.1% 1.1% 0.8% -1% -1.8% -1.4% -0% 0.2% 0.7% -3.1% -0.9% -6.6%
1970 0.1% 0.2% 0.4% -1.6% -1.1% -0.8% 1.8% 1.9% 1.8% 1.4% 1% 1.7% 6.7%
1971 1.7% 1.7% 1.4% 1.8% 0.1% -0.1% 1.8% -0.7% 1.4% -0.3% 0.6% 2.7% 11.9%
1972 2.8% 1.5% 0.5% 1.1% 5.8% 2.3% 1.9% 0.3% -1.1% 0.3% 0.9% 0.6% 16.6%
1973 0.4% 6.4% 1.4% -0% 8% 3.3% -2.6% -3.9% 0.2% -0.1% -1.2% 3.8% 15.6%
1974 5.4% 6.3% 0.9% -1.8% -2.7% -3.3% 1.3% -2.1% -2.2% 7.4% 3.6% 0.3% 12.8%
1975 1.8% 2.8% -0.2% -0.3% 2.4% 2.2% -2% -1.7% -3.7% 3.3% -0.4% 1.6% 5.6%
1976 -0.4% 2.2% 1.5% -0.5% -1% 1.6% -1.8% -0.9% 3.4% 1.4% 2% 3.4% 10.7%
1977 -2.1% 1.7% 1.3% -0% -0.4% 1.8% -0.1% 0.6% 1.6% 0.4% 1.1% 0.1% 5.9%
1978 1% 0.9% 0.8% -0.2% 3.4% -0.5% 4.4% 2.9% -0.5% 1.4% -5.1% 5.1% 13.4%
1979 2.4% 1% 0.2% 1.3% 3.4% 1.9% 2.7% 3.4% 6.8% -3.8% 5.3% 10.6% 34.2%
1980 6.9% -2.3% -8.9% 6% 3.3% 7.3% -0.6% 0.7% 1.8% -1.3% 1% 1% 14.8%
1981 -3.4% -1.3% 2.4% -2.6% 1.8% -2.5% -1.4% -1.5% -1.3% 3.5% 3.8% -2.5% -5.2%
1982 -0.9% -1.5% -2.6% 5% -2.5% -1.4% 4.3% 7.8% 1.6% 6.2% 2.8% 2.2% 20.6%
1983 3% -2.7% 1.3% 3% 0.8% 0.3% -1.1% -0.5% 1.4% -2% 2.7% -1.4% 4.8%
1984 -0.1% 0.1% -0.5% -0.7% -1.8% -0.1% 0% 4% 0.7% 1.1% -0.1% -0.2% 2.3%
1985 3.1% -2.1% 4.2% -0% 3.2% 0.9% 0.7% 0.6% -0.9% 2.2% 2.8% 3.3% 17.9%
1986 2.3% 3.7% 3.6% 0.4% -0.2% 1.9% -1.1% 2.8% 1.3% 0.2% -0.5% 0.2% 14.5%
1987 2.4% 2.1% 2.2% 0.3% 0.2% 0.8% 1.8% 0.3% -1.1% -2.7% -2.8% 1.4% 4.9%
1988 1% -0.1% 0.5% -0.5% 0.1% 1.4% -0.9% -0.9% 0.4% 2% -0.4% 0.9% 3.5%
1989 0.6% -1.3% 0.5% 1.4% 1.1% 2% 2.4% -0.6% -0% 1% 2.5% -1.1% 8.5%
1990 -0.5% 0% -2.4% -0.6% 3.3% -0.2% 1.4% -2.4% 1% -2% 3.3% 1.6% 2.3%
1991 0.3% 2% 0.1% 1.1% 1.4% 0.4% 0.1% 0.3% 1.5% 0.7% 1.6% 1.9% 11.5%
1992 -0.7% 0.1% -1.1% 0.4% 1% 0.3% 3.1% -1.5% 1.2% -0.8% 0.9% 0.5% 3.2%
1993 1% 0.8% 1.5% 0.8% 2.6% 1.3% 2% -0.1% -1% 1.6% -0.9% 2.1% 11.7%
1994 0.5% -1.3% -1.5% -0.8% 1% -0.7% 1.3% 1.2% -0.5% -0.3% -0.7% 0.8% -1.1%
1995 0.8% 1.9% 2% 1% 2.6% 1.4% 0.6% 0.9% 1.7% 0.5% 2.2% 1.2% 16.7%
1996 1.9% -1% -0.4% -0% 0.7% -0.2% -1.2% 0.7% 1.7% 1.4% 2.2% -1% 4.9%
1997 -0.2% 0.9% -2.3% 1.2% 2.6% 1% 3.1% -1.7% 2.9% -1.5% 0.5% 0.6% 7.1%
1998 2% 1.1% 1.8% 1.3% -1.6% 1.9% -1.2% -3.9% 4.1% 1.3% 2.1% 1.2% 9.8%
1999 1.1% -1.9% 0.3% 2% -2.4% 0.7% -1.4% -0.3% 3.6% 1.8% 0.2% 1.5% 5.2%
2000 -1% 2.4% 0.8% -1.7% -1% 3% -1% 2.6% -1.6% -0.7% -1% 1.6% 2.5%
2001 0.6% -1.8% -2.5% 1.9% 0.8% 0.2% 0.1% -0.1% 0.2% 0.6% 0% 0.1% 0.2%
2002 0.6% 1.2% 0.3% 0.5% 1.4% -1.8% -2.3% 2.4% 0.2% -0.3% 1.1% 2.6% 5.9%
2003 0.6% -1% -1.1% 2.5% 4.9% -1.1% -1.3% 2.4% 2% 0.8% 1.3% 2.6% 12.6%
2004 0.2% 0.7% 1.8% -4.2% 0.6% 1% -0.8% 2.1% 1.2% 1.5% 2% 0.8% 6.8%
2005 -0.5% 1% -0.9% 0.8% 0.8% 1.9% -0.1% 1.1% 1.2% -1.2% 2.9% 2.2% 9%
2006 3% 0.1% 0.4% 2.9% -1.1% -1% 1.4% 0.9% -0.2% 1.4% 3% -0.7% 10.5%
2007 0.8% 1.2% -0.4% 1.7% -0% -1.1% 0.6% 1.2% 3.7% 2.8% -0.2% 1.6% 12.1%
2008 1.8% 0.8% -1.3% -0.7% 0.1% -0.1% -0.6% -1.5% -0.6% -8.4% 5.6% 6.5% 1.4%
2009 -3.8% -2.5% 2% 0% 3.3% -1.2% 2.8% 1.5% 3.2% -0.3% 5.5% -2.6% 8.1%
2010 -0.4% 1.5% 0.9% 2.8% 0% 0.7% -0.1% 2.6% 2.6% 0.7% 0.3% 1.4% 13.3%
2011 -1.8% 2.8% 0.5% 3.5% 0.1% -1.7% 2.7% 4.3% -1.4% 2.7% 0.9% -1.7% 10.9%
2012 3.9% -0.4% -0.6% 0.9% -1.1% 1.1% 1.4% 1.5% 1.2% -1.4% 0.4% -0.9% 6.2%
2013 0.5% -0.6% 1.2% -0.2% -2.4% -3.5% 2.6% -0.2% 0.3% 1.6% -0.9% -0.3% -2%
2014 1.5% 2.9% -0.5% 0.7% 0.5% 2.1% -1.2% 2.4% -2.6% 0.8% 1.4% 1.2% 9%
2015 4% -1.8% -0.6% -0.8% -0.1% -1.8% -0.2% -0.9% -0.7% 2.4% -1.7% -0.7% -2.9%
2016 1.2% 3.6% 1.4% 1.4% -1.1% 4.2% 2.1% -1.1% -0.2% -2.5% -3.2% -0.1% 5.6%
2017 2.1% 2.1% -0.3% 1.1% 0.7% -0.1% 0.9% 2% -0.8% 0.4% 1.1% 1.3% 10.5%
2018 1.3% -2.2% 0.4% -0.6% 0.9% -0.5% 0% 0.8% -0.8% -2.2% 1.1% 0.2% -1.6%
2019 3% 0.5% 1.4% 0.5% 0.3% 4.1% 0.5% 4.2% -1.1% 0.9% 0.1% 0.9% 15.2%
2020 3.1% -0.3% -1.3% 4.8% 1.3% 1.3% 5.4% 0.1% -1.8% -1.5% 1.7% 2.7% 15.4%
2021 -1.7% -2.1% -0.5% 2.8% 1.9% -0.1% 1.9% 0.7% -2.7% 2.8% 0.4% 0% 3.3%
Pos 75.8% 61.1% 68.4% 65.3% 67.4% 57.9% 63.2% 61.1% 60% 61.1% 73.7% 77.7% 87.4%
Avg 0.8% 0.4% 0.3% 0.6% 0.6% 0.5% 0.6% 0.6% 0.3% 0.3% 0.8% 0.9% 6.6%

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 portfolio/asset in question.

Harry Browne Permanent Portfolio

start valley end Drawdown days
1929-10-01 1932-05-31 1933-08-23 -27.61% 1422
1980-01-22 1980-03-27 1980-09-23 -18.02% 245
2008-03-19 2008-11-12 2009-08-27 -14.44% 526
1937-04-01 1938-03-31 1939-10-30 -13.67% 942
1974-02-27 1974-09-26 1974-12-26 -12.74% 302

The Harry Browne Permanent Portfolio took approximately 23 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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