Permanent Portfolio
Nov 18, 2004 – Nov 12, 2026, Rebalanced annually, GLD starts Nov 18, 2004
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Permanent Portfolio | $45,384 | +7.12% | −19.03% | 0.96 |
| S&P 500 | $95,178 | +10.79% | −55.19% | 0.64 |
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Permanent Portfolio | $45,384 | +7.12% | −19.03% | 0.96 |
| S&P 500 | $95,178 | +10.79% | −55.19% | 0.64 |
| Permanent Portfolio | S&P 500 | |
|---|---|---|
| Final balance | $45,384 | $95,178 |
| CAGR | +7.12% | +10.79% |
| Max drawdown | −19.03% | −55.19% |
| Sharpe ratio | 0.96 | 0.64 |
Loading the growth chart…
Growth of $10,000
Key metrics
| Return | Permanent Portfolio | S&P 500 |
|---|---|---|
| Final balance | $45,384 | $95,178 |
| Total return | +353.84% | +851.78% |
| CAGR | +7.12% | +10.79% |
| Calendar years | Permanent Portfolio | S&P 500 |
|---|---|---|
| Best year | +22.49% | +32.31% |
| Worst year | −13.85% | −36.80% |
| Positive years | 17 of 21 | 18 of 21 |
| Risk | Permanent Portfolio | S&P 500 |
|---|---|---|
| Max drawdown | −19.03% | −55.19% |
| Longest drawdown | 2.5 years | 4.9 years |
| Volatility (daily, annualized) | 7.48% | 18.84% |
| Risk-adjusted | Permanent Portfolio | S&P 500 |
|---|---|---|
| Sharpe ratio | 0.96 | 0.64 |
| Sortino ratio | 1.37 | 0.90 |
| Calmar ratio | 0.37 | 0.20 |
Annual returns
| Year | Permanent Portfolio | S&P 500 |
|---|---|---|
| 2017 | +10.87% | +21.71% |
| 2018 | −1.83% | −4.57% |
| 2019 | +16.51% | +31.22% |
| 2020 | +16.77% | +18.33% |
| 2021 | +4.05% | +28.73% |
| 2022 | −13.85% | −18.18% |
| 2023 | +11.42% | +26.18% |
| 2024 | +11.58% | +24.89% |
| 2025 | +22.49% | +17.72% |
| 2026 to Nov 12 | −0.60% | +11.89% |
Worst drawdowns
| Decline | Peak | Bottom | Recovered | Length |
|---|---|---|---|---|
| −19.0% | Nov 2021 | Oct 2022 | May 2024 | 2.5 years |
| −14.1% | Mar 2008 | Nov 2008 | Aug 2009 | 1.4 years |
| −11.1% | Mar 2020 | Mar 2020 | Apr 2020 | 2 months |
| −8.0% | Jul 2016 | Dec 2016 | Aug 2017 | 1.1 years |
| −8.0% | May 2006 | Jun 2006 | Nov 2006 | 6 months |
About the Permanent Portfolio
Harry Browne first described a Permanent Portfolio in a 1981 book. His later books settled on this version, which splits the money equally between four assets, each for a different kind of economy. Stocks do well in booms, long-term bonds in deflation, cash in recessions and gold in inflation.
Returns are modest, but so are the losses. Browne advised checking once a year and rebalancing only if an asset had fallen below 15% or risen above 35%. This backtest simply rebalances every year. The Golden Butterfly is a version with more stocks.
Its worst fall took 2.5 years to recover, and it beat the S&P 500 in 7 of 21 full years.
Daily closes with dividends reinvested and fund fees included, before taxes and trading costs.