Golden Ratio Portfolio
May 30, 2007 – Sep 23, 2026, Rebalanced annually
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Golden Ratio | $46,767 | 8.31% | −25.21% | 0.86 |
| S&P 500 | $71,426 | 10.71% | −55.19% | 0.62 |
| Golden Ratio | S&P 500 | |
|---|---|---|
| Final balance | $46,767 | $71,426 |
| CAGR | 8.31% | 10.71% |
| Max drawdown | −25.21% | −55.19% |
| Sharpe ratio | 0.86 | 0.62 |
Allocation
- VUGUS large-cap growth21%
- VBRUS small-cap value21%
- TLTLong-term Treasuries26%
- GLDGold16%
- DBCCommodities10%
- BILTreasury bills6%
Loading the growth chart…
Growth of $10,000
- Golden Ratio
- S&P 500
Metrics
| Return | Golden Ratio | S&P 500 |
|---|---|---|
| Final balance | $46,767 | $71,426 |
| Total return | 367.67% | 614.26% |
| CAGR | 8.31% | 10.71% |
| Calendar years | Golden Ratio | S&P 500 |
| Best year | 20.39% | 32.31% |
| Worst year | −15.16% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Golden Ratio | S&P 500 |
| Max drawdown | −25.21% | −55.19% |
| Longest drawdown | 2.4 years | 4.9 years |
| Volatility (annualized) | 9.90% | 19.70% |
| Risk-adjusted | Golden Ratio | S&P 500 |
| Sharpe ratio | 0.86 | 0.62 |
| Sortino ratio | 1.21 | 0.87 |
| Calmar ratio | 0.33 | 0.19 |
| Return | Golden Ratio | S&P 500 |
|---|---|---|
| Final balance | $46,767 | $71,426 |
| Total return | 367.67% | 614.26% |
| CAGR | 8.31% | 10.71% |
| Calendar years | Golden Ratio | S&P 500 |
| Best year | 20.39% | 32.31% |
| Worst year | −15.16% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Golden Ratio | S&P 500 |
|---|---|---|
| Max drawdown | −25.21% | −55.19% |
| Longest drawdown | 2.4 years | 4.9 years |
| Volatility (annualized) | 9.90% | 19.70% |
| Risk-adjusted | Golden Ratio | S&P 500 |
| Sharpe ratio | 0.86 | 0.62 |
| Sortino ratio | 1.21 | 0.87 |
| Calmar ratio | 0.33 | 0.19 |
Worst drawdowns
| Decline | Peak | Bottom | Recovered |
|---|---|---|---|
| −25.2% | May 2008 | Mar 2009 | Nov 2009 |
| −20.2% | Nov 2021 | Oct 2022 | Mar 2024 |
| −18.9% | Feb 2020 | Mar 2020 | Jul 2020 |
| −11.4% | Apr 2015 | Jan 2016 | Jun 2016 |
| −10.8% | Aug 2018 | Dec 2018 | Apr 2019 |
Annual returns
| Year | Golden Ratio | S&P 500 |
|---|---|---|
| 2007* | +8.02% | −3.36% |
| 2008 | −8.22% | −36.80% |
| 2009 | +13.90% | +26.35% |
| 2010 | +17.10% | +15.06% |
| 2011 | +9.61% | +1.89% |
| 2012 | +9.58% | +15.99% |
| 2013 | +5.72% | +32.31% |
| 2014 | +9.01% | +13.46% |
| 2015 | −5.26% | +1.23% |
| 2016 | +10.00% | +12.00% |
| 2017 | +13.27% | +21.71% |
| 2018 | −5.06% | −4.57% |
| 2019 | +20.39% | +31.22% |
| 2020 | +17.62% | +18.33% |
| 2021 | +13.91% | +28.73% |
| 2022 | −15.16% | −18.18% |
| 2023 | +15.62% | +26.18% |
| 2024 | +12.17% | +24.89% |
| 2025 | +18.33% | +17.72% |
| 2026* | +8.55% | +13.47% |
* Partial year
About the Golden Ratio Portfolio
Frank Vasquez, host of the Risk Parity Radio podcast, created the Golden Ratio portfolio. Stocks get 42%, long-term Treasuries 26%, gold 16%, managed futures 10% and cash 6%. Each weight is about 1.6 times the next one, the golden ratio.
Vasquez holds DBMF for managed futures, but it only goes back to 2019. Like Portfolio Charts, this page uses commodities for that 10% instead.
The Golden Ratio Portfolio returned 8.3% a year from May 2007 to Sep 2026, against 10.7% for the S&P 500. Its biggest drop was 25.2%, against 55.2% for the S&P 500. It took 1.5 years to recover. It beat the S&P 500 in 5 of 18 full years.
Uses daily closing prices with dividends reinvested. Fund fees are included, but not taxes or trading costs. The backtest starts on May 30, 2007, the first day all six funds have prices. The S&P 500 is SPY.
Other portfolios
Golden Butterfly
A Permanent Portfolio variant, 40% stocks, 40% bonds, 20% gold.
- VTI20%
- VBR20%
- TLT20%
- SHY20%
- GLD20%
Permanent Portfolio
Harry Browne's portfolio, 25% each in stocks, long-term bonds, cash and gold.
- VTI25%
- TLT25%
- SHY25%
- GLD25%
All Weather
Ray Dalio's simplified portfolio, 55% bonds, 30% stocks, 15% gold and commodities.
- VTI30%
- TLT40%
- IEF15%
- DBC7.5%
- GLD7.5%