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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:
The backtesting period is limited by the inception date of US Total Stock Market (TOTSTOCKMKT.X): Jun 30, 1926.
A quick overview of the assets within the portfolio, its performance and main metrics.
The portfolio consists of 4 asset classes, which are all equally weighted.
| Name / Ticker | Type | Currency | Inception | Weight |
|---|---|---|---|---|
US Total Stock Market TOTSTOCKMKT.X | Asset Class | USD | Jun 30, 1926 | 25% |
Long Term Treasury LTTREASURY.X | Asset Class | USD | Dec 30, 1870 | 25% |
US Treasury Bills TBILL.X | Asset Class | USD | Dec 30, 1870 | 25% |
Gold GOLD.X | Asset Class | USD | Dec 30, 1791 | 25% |
The backtest spans over a period of 100 years. With an annual return of 6.83% for Harry Browne Permanent Portfolio, the cumulative return over that period amounts to 72159%.
| Portfolio Score | Harry Browne Permanent Portfolio |
|---|---|
| Portfolio Score |
| Returns | Harry Browne Permanent Portfolio |
|---|---|
| Month-to-Date | 0.67% |
| Year-to-Date | 4.26% |
| 3M | 6.39% |
| 6M | 15.58% |
| Annualized Return (3Y) | 15.58% |
| Annualized Return (5Y) | 8.12% |
| Annualized Return (10Y) | 7.97% |
| Annualized Return (20Y) | 7.33% |
| Annualized Return (All, 99.6Y) | 6.83% |
| Risk | Harry Browne Permanent Portfolio |
|---|---|
| Annual Volatility | 5.01% |
| Max Drawdown | -29.63% |
| Sharpe Ratio | 1.33 |
| Sortino Ratio | 1.98 |
| Adjusted Sortino Ratio | 1.4 |
With a projected annual return (CAGR) of 6.83% and an initial investment of $10,000, Harry Browne Permanent Portfolio would have the following projected capital growth over the next 50 years.
| Year | Starting Capital | Ending Capital | Total Gain | Avg Monthly Gain | Cumulative Return |
|---|---|---|---|---|---|
| $10,000 | $10,683 | $683 | $57 | 6.8% | |
| 5 | $13,914 | $14,865 | $950 | $79 | 48.6% |
| 10 | $19,361 | $20,684 | $1,322 | $110 | 107% |
| 15 | $26,940 | $28,780 | $1,840 | $153 | 188% |
| 20 | $37,486 | $40,046 | $2,560 | $213 | 300% |
| 50 | $272,058 | $290,640 | $18,582 | $1,548 | 2,806% |
A detailed look at the returns of the portfolio.
| Portfolio | All (99.6Y) | 20Y | 10Y | 5Y | 3Y | 1Y |
|---|---|---|---|---|---|---|
| Harry Browne Permanent Portfolio | 6.83% | 7.33% | 7.97% | 8.12% | 15.58% | 22.23% |
| Year | Harry Browne Permanent Portfolio |
|---|---|
| 1926 | 3.78% |
| 1927 | 11.51% |
| 1928 | 10.56% |
| 1929 | -0.11% |
| 1930 | -4.53% |
| 1931 | -12.62% |
| 1932 | 2.68% |
| 1933 | 19.15% |
| 1934 | 14.5% |
| 1935 | 12.85% |
| Portfolio | Positive Years | Negative Years | Positive Ratio | Best Return Years | Worst Return Years |
| Harry Browne Permanent Portfolio | 86 | 15 | 85.15% | 101 | 101 |
Let's analyze how much risk the portfoliohas.
A drawdown represents the period of decline an investor experiences between a portfolio's peak (new high) and its subsequent low, also known as the valley (before it begins to recover). The table below highlights the five largest drawdowns encountered by the portfolio.
| Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Max drawdown | Start | Valley | # Months | End | # Months | # Months | Chart |
| -29.63% | 1929-09-03 | 1932-05-31 | 33 | 1934-06-18 | 25 | 58 | |
| -17.94% | 1980-01-22 | 1980-03-27 | 2 | 1980-12-01 | 8 | 10 | |
| -17.51% | 2021-11-10 | 2022-10-20 | 11 | 2024-03-27 | 17 | 29 | |
| -14.49% | 2008-03-19 | 2008-11-12 | 8 | 2009-09-09 | 10 | 18 | |
| -13.75% | 1937-03-02 | 1938-03-31 | 13 | 1940-03-14 | 23 | 36 | |
| -12.67% | 1974-02-27 | 1974-09-26 | 7 | 1974-12-26 | 3 | 10 | |
| -12.18% | 1980-12-02 | 1982-03-15 | 15 | 1982-08-26 | 5 | 21 | |
| -11.11% | 2020-03-09 | 2020-03-18 | 0 | 2020-04-23 | 1 | 1 | |
| -11.08% | 1973-07-09 | 1973-11-26 | 5 | 1974-01-18 | 2 | 6 | |
| -9.75% | 1969-05-09 | 1970-06-30 | 14 | 1971-01-11 | 6 | 20 | |
Harry Browne Permanent Portfolio took approximately 58 months on average to recover from major drawdowns of 20% or more. The largest drawdown reached -29.63% and the longest drawdown period lasted 58 months.