Golden Ratio Portfolio
May 30, 2007 – Nov 12, 2026, Rebalanced annually, BIL starts May 30, 2007
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Golden Ratio | $45,613 | +8.11% | −25.21% | 0.84 |
| S&P 500 | $70,431 | +10.55% | −55.19% | 0.61 |
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Golden Ratio | $45,613 | +8.11% | −25.21% | 0.84 |
| S&P 500 | $70,431 | +10.55% | −55.19% | 0.61 |
| Golden Ratio | S&P 500 | |
|---|---|---|
| Final balance | $45,613 | $70,431 |
| CAGR | +8.11% | +10.55% |
| Max drawdown | −25.21% | −55.19% |
| Sharpe ratio | 0.84 | 0.61 |
Loading the growth chart…
Growth of $10,000
Key metrics
| Return | Golden Ratio | S&P 500 |
|---|---|---|
| Final balance | $45,613 | $70,431 |
| Total return | +356.13% | +604.31% |
| CAGR | +8.11% | +10.55% |
| 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 (daily, annualized) | 9.90% | 19.68% |
| Risk-adjusted | Golden Ratio | S&P 500 |
|---|---|---|
| Sharpe ratio | 0.84 | 0.61 |
| Sortino ratio | 1.19 | 0.86 |
| Calmar ratio | 0.32 | 0.19 |
Annual returns
| Year | Golden Ratio | S&P 500 |
|---|---|---|
| 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 to Nov 12 | +5.82% | +11.89% |
Worst drawdowns
| Decline | Peak | Bottom | Recovered | Length |
|---|---|---|---|---|
| −25.2% | May 2008 | Mar 2009 | Nov 2009 | 1.5 years |
| −20.2% | Nov 2021 | Oct 2022 | Mar 2024 | 2.4 years |
| −18.9% | Feb 2020 | Mar 2020 | Jul 2020 | 5 months |
| −11.4% | Apr 2015 | Jan 2016 | Jun 2016 | 1.1 years |
| −10.8% | Aug 2018 | Dec 2018 | Apr 2019 | 7 months |
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.
Its worst fall took 1.5 years to recover, and it beat the S&P 500 in 5 of 18 full years.
Daily closes with dividends reinvested and fund fees included, before taxes and trading costs.