Data through September 2026. Annual rebalance, trading costs included.
What is in the Golden Butterfly
Five holdings at 20% each. Browne built the Permanent Portfolio for four economic seasons, prosperity, inflation, deflation and recession, with 25% in an asset suited to each. The Golden Butterfly keeps all four and adds a second stock sleeve, tilting the portfolio toward the season that pays: prosperity.
| Sleeve | ETF | Job | Weight |
|---|
| US large-cap stocks | VOO | Prosperity | 20% |
| US small-cap value | VBR | Prosperity, factor tilt | 20% |
| Long-term Treasuries | TLT | Deflation | 20% |
| Short-term Treasuries | SHY | Recession | 20% |
| Gold | SGOL | Inflation | 20% |
Two changes separate it from Browne's original:
- A second stock sleeve in small-cap value. Size and value are the two best-documented equity factors, and small-cap value sits where both apply. Growth assets rise from 25% of the portfolio to 40%.
- Short-term Treasuries for the cash sleeve. One-to-three-year Treasuries in place of T-bills, earning a little more term premium while staying close to cash.
It keeps Browne's long Treasuries, the sleeve that does the heavy lifting in a deflationary crash. It is rebalanced once a year, in January, back to 20% each, and left alone in between.
What the record shows
From Jan 1980 through Sep 2026, the Golden Butterfly compounded at 8.5% a year after trading costs. $10,000 invested at the start grew to about $447,695.
That is 1.1 points a year more than Harry Browne's Permanent Portfolio over the same months, and it out-returned the Permanent Portfolio in all 5 decades in the record. The second stock sleeve has added return.
Its deepest decline was 17.3%, from a peak in Dec 2021 to a low in Sep 2022, and it was back to its old high by Mar 2024. That is the third deepest maximum drawdown of the 5 allocations on this page.
Return is only half the picture. The Ulcer Performance Index measures return against the depth and length of drawdowns, and on it the Golden Butterfly scores 1.19, ahead of the Permanent Portfolio at 0.99.
Against a 60/40 portfolio, the yardstick most investors know, it returned 8.5% a year against 9.8%, but with a maximum drawdown of -17.3% against -32.3%. Its Ulcer Performance Index was 1.19 against 0.90.
From Nov 2007 to Feb 2009, through the global financial crisis, the Golden Butterfly returned -14.5%, against -4.2% for the Permanent Portfolio and -32.3% for 60/40. Long Treasuries rallied as stocks fell, which is the job Browne gave them, but with 40% in stocks it still lost more than his original.
The same long Treasuries were the problem in 2022, when rising rates sent them down with stocks. That year the Golden Butterfly returned -12.6%, against -12.2% for the Permanent Portfolio and -15.9% for 60/40.
In the 195 months the S&P 500 fell, the Golden Butterfly still made money in 27% of them.
Since 2000
The modern half of the record, with the dot-com bust, 2008, the long zero-rate decade and the 2022 rate shock all inside it.
| Jan 2000 to Sep 2026 | CAGR | Max DD | Ulcer | UPI | Sortino | MAR |
|---|
| Golden Butterfly | 7.8% | -17.3% | 3.63 | 1.63 | 1.62 | 0.45 |
|---|
| Permanent Portfolio DMS | 8.5% | -10.9% | 3.11 | 2.13 | 2.22 | 0.78 |
|---|
| Permanent Portfolio | 6.7% | -15.7% | 3.34 | 1.45 | 1.69 | 0.43 |
|---|
| 60/40 | 6.6% | -32.3% | 7.62 | 0.62 | 1.11 | 0.20 |
|---|
| All Weather | 6.6% | -21.1% | 4.86 | 0.98 | 1.40 | 0.31 |
|---|
| Awesome Portfolio | 7.2% | -22.4% | 4.21 | 1.27 | 1.44 | 0.32 |
|---|
| S&P 500 | 8.1% | -51.0% | 15.89 | 0.39 | 0.88 | 0.16 |
|---|
Return by decade
| Annual return | 1980s | 1990s | 2000s | 2010s | 2020s* |
|---|
| Golden Butterfly | +10.0% | +8.9% | +7.6% | +7.7% | +8.1% |
|---|
| Permanent Portfolio DMS | +14.7% | +9.5% | +10.1% | +4.3% | +12.5% |
|---|
| Permanent Portfolio | +9.1% | +7.4% | +6.4% | +6.3% | +7.7% |
|---|
| 60/40 | +14.7% | +14.0% | +2.1% | +9.4% | +9.4% |
|---|
| All Weather | +11.9% | +10.3% | +6.5% | +7.8% | +5.1% |
|---|
| Awesome Portfolio | +9.3% | +7.8% | +7.2% | +6.7% | +8.1% |
|---|
| S&P 500 | +17.0% | +18.1% | -1.0% | +12.9% | +15.3% |
|---|
* Partial decade, annualized over the months available.
Through the hard stretches
Total return over each period, start of the first month to the end of the last.
| Period | Golden B. | PP DMS | Permanent | 60/40 | All Weather | Awesome | S&P 500 |
|---|
| 1987 crashSep 1987 to Nov 1987 | -12.4% | +0.4% | -6.6% | -18.5% | -10.2% | -8.1% | -29.8% |
|---|
| Dot-com bear marketSep 2000 to Sep 2002 | +2.4% | +24.9% | -0.5% | -23.5% | 0.0% | +3.1% | -44.8% |
|---|
| Global financial crisisNov 2007 to Feb 2009 | -14.5% | +5.5% | -4.2% | -32.3% | -7.7% | -22.0% | -51.0% |
|---|
| COVID crashFeb 2020 to Mar 2020 | -6.9% | +4.4% | -1.4% | -11.9% | -0.6% | -8.9% | -19.6% |
|---|
| 2022 rate shockJan 2022 to Dec 2022 | -12.6% | +2.9% | -12.2% | -15.9% | -18.8% | -11.3% | -18.2% |
|---|
How it behaves month to month
| Since Jan 1980 | Worst 12 months | Positive months | Positive when S&P 500 fell | Correlation to S&P 500 |
|---|
| Golden Butterfly | -15.4% | 65% | 27% | 0.77 |
|---|
| Permanent Portfolio DMS | -9.7% | 65% | 43% | 0.35 |
|---|
| Permanent Portfolio | -13.9% | 62% | 33% | 0.59 |
|---|
| 60/40 | -27.5% | 66% | 10% | 0.97 |
|---|
| All Weather | -19.5% | 66% | 35% | 0.64 |
|---|
| Awesome Portfolio | -21.5% | 64% | 27% | 0.73 |
|---|
The portfolios it is compared with
- Permanent Portfolio DMS: Browne's four economic seasons built with modern instruments: equity long/short, global macro, gold, managed futures and tail-risk protection.
- Permanent Portfolio: Harry Browne, 1981. US stocks, long Treasuries, gold and T-bills at 25% each.
- 60/40: 60% US stocks, 40% US bonds, rebalanced annually.
- All Weather: The widely published risk-balanced allocation: long and intermediate Treasuries, stocks, gold and commodities.
- Awesome Portfolio: Associated with Jared Dillian. US stocks, real estate, the total bond market, gold and T-bills at 20% each.
- S&P 500: US large-cap stocks, held without rebalancing.
Questions
What is the Golden Butterfly portfolio?
The Golden Butterfly is a five-part, equal-weight allocation: 20% each in US large-cap stocks, US small-cap value stocks, long-term Treasuries, short-term Treasuries and gold. It is a variation on Harry Browne's Permanent Portfolio that adds small-cap value as a second stock sleeve to tilt toward growth.
Who created the Golden Butterfly?
The Golden Butterfly was created by Tyler, the author of the Portfolio Charts website. Dual Momentum Systems is not affiliated with him or with Portfolio Charts. This page is an independent backtest.
What has the Golden Butterfly returned?
In this backtest, from Jan 1980 through Sep 2026, it returned 8.5% a year after trading costs, with a maximum drawdown of -17.3%. These are nominal returns measured monthly. The figures update every month.
Is the Golden Butterfly better than the Permanent Portfolio?
On return, yes: 8.5% a year against 7.4% over the same months. On risk, its maximum drawdown was -17.3% against -15.7%, and its Ulcer Performance Index was 1.19 against 0.99. It holds more stocks, so it tends to earn more in good years and fall a little further in bad ones.
How does the Golden Butterfly compare with a 60/40 portfolio?
Over the same months, the Golden Butterfly returned 8.5% a year with a -17.3% maximum drawdown, while 60/40 returned 9.8% a year with a -32.3% maximum drawdown.
Why are these numbers different from Portfolio Charts?
Portfolio Charts reports inflation-adjusted returns and measures drawdowns from annual data. This page reports nominal returns, measures drawdowns monthly and includes trading costs. Both are correct; they answer different questions.
How often is the Golden Butterfly rebalanced?
Once a year, in January, back to 20% in each of the five holdings. There are no drift bands and no signals in between.
Which ETFs does this backtest use?
VOO for US large-cap stocks, VBR for small-cap value, TLT for long-term Treasuries, SHY for short-term Treasuries and SGOL for gold. These are DMS's choice of fund for each sleeve. Before each fund launched, its history comes from a matching index.
Why these numbers differ from Portfolio Charts
If you have seen the Golden Butterfly's figures on Portfolio Charts, the ones here will look different, and the gap is about measurement, not disagreement.
- Nominal, not inflation-adjusted. Portfolio Charts reports real returns, after inflation. This page reports nominal returns, what a brokerage statement shows. Over four decades that difference is large. See inflation-adjusted returns.
- Monthly, not annual. Portfolio Charts measures drawdowns from annual data. This page uses month-end data, which catches declines a calendar-year view never sees, so drawdowns here are deeper for the same portfolio. See maximum drawdown.
- Trading costs included. Every figure here is after the annual rebalance's trading costs.
About the data
All portfolios run on the same monthly return series with the same trading-cost model and are rebalanced as each one specifies. Returns before an ETF's launch come from a matching index, as explained in where the data comes from. The Permanent Portfolio, Golden Butterfly, Awesome Portfolio and All Weather use funds with long, clean index histories. Permanent Portfolio DMS uses recently launched funds whose earlier history relies on hedge fund and managed futures index data, which can be flattered by survivorship and backfill bias, so its early decades deserve extra skepticism.
Backtests are hypothetical and are not a promise of future results. This page is educational and is not investment advice.