Golden Butterfly
Five equal parts: US stocks, small-cap value stocks, long-term Treasuries, short-term Treasuries and gold.
Designed by Tyler, Portfolio Charts (2015).
Before the numbers. A hypothetical backtest, not a forecast: Jun 30, 2000 to Oct 9, 2026 (26.2 years), the window every published portfolio shares. Rebalanced once a year at 10 basis points a trade. The bar is the three-fund at the same stock share, 40%.
Funds younger than the window are extended by older series, each junction validated (how): GLD by GC=F before 2004-11-18, then CEF before 2000-08-30; VBR by VISVX before 2004-01-30; VGLT by VUSTX before 2010-01-04; VGSH by VFISX before 2009-11-23; VTI by VTSMX before 2001-06-15. Gold before August 2000 is the Central Fund of Canada (CEF), which held silver as well as gold.
What it holds
| Asset class, and the fund this backtest holds it through | Weight | Fund fee |
|---|---|---|
| US total stock market VTI · Vanguard Total Stock Market |
20% | 0.03% |
| US small-cap value VBR · Vanguard Small-Cap Value |
20% | 0.07% |
| Long Treasuries VGLT · Vanguard Long-Term Treasury |
20% | 0.04% |
| Short Treasuries VGSH · Vanguard Short-Term Treasury |
20% | 0.04% |
| Gold GLD · SPDR Gold Shares |
20% | 0.40% |
| Together | 100% | 0.12% |
The funds are the ones this backtest uses for each asset class, not a list to buy: any fund tracking the same asset class holds the same thing.
Its record against the three-fund at 40% stocks
| Statistic | Golden Butterfly | Three-fund at 40% stocks |
|---|---|---|
| Value per $10,000 | $72,583 | $42,039 |
| Total return | 625.83% | 320.39% |
| Annual return (CAGR) | 7.84% | 5.62% |
| Standard deviation | 7.98% | 6.99% |
| Max drawdown | -20.72% | -23.08% |
| Worst calendar year | -12.58% | -15.13% |
| Longest time underwater | 582 days | 679 days |
| Ulcer Index | 4.36% | 5.01% |
| Sharpe ratio | 0.75 | 0.55 |
| Sortino ratio | 1.16 | 0.81 |
| Ulcer Performance Index | 1.37 | 0.75 |
The crises
| Deepest decline from a prior peak | Golden Butterfly | Three-fund at 40% stocks |
|---|---|---|
| 2000–02 | -9.8% | -10.4% |
| 2008 | -20.7% | -23.1% |
| 2020 | -15.7% | -15.7% |
| 2022 | -18.5% | -20.4% |
2000–02 is measured from June 2000, the window's start, after the March peak; 2008 from October 2007 to June 2009; 2020 from February to April; 2022 through 2023.
Calendar years
The first and last years are partial.
The trade-off
Tyler built it on Portfolio Charts from Harry Browne’s Permanent Portfolio, adding a fifth part in small-cap value stocks. Only 40% is in stocks; the rest are assets that tend to move differently from stocks and from each other: long bonds when interest rates fall, gold in some inflations and currency scares, short bonds as the steady part.
Over this window its worst decline was -20.7%, against -23.1% for the three-fund at 40% stocks, and it returned 7.84% a year. The trade-off is in what it holds: a fifth in gold and a fifth in long bonds, both of which have had long flat or falling stretches, and no international stocks.