Harry Browne Permanent Portfolio: ETF allocation and returns

The Harry Browne Permanent Portfolio is exposed for 25% on the Stock Market and for 25% on Commodities.

It's a Medium Risk portfolio and it can be replicated with 4 ETFs.

In the last 10 years, the portfolio obtained a 6.97% compound annual return, with a 6.07% standard deviation (Last Update: August 2019).

Asset Allocation and ETFs

The Harry Browne Permanent Portfolio has the following asset allocation:

        25% Stocks
      
        50% Fixed Income
      
        25% Commodities

The Harry Browne Permanent Portfolio can be replicated with the following ETFs:

Weight	Ticker	ETF Name	Investment Themes
25.00 %	VTI	Vanguard Total Stock Market	Equity, U.S., Large Cap
25.00 %	BIL	SPDR Blmbg Barclays 1-3 Mth T-Bill	Bond, U.S., Ultra Short-Term
25.00 %	TLT	iShares 20+ Year Treasury Bond	Bond, U.S., Long-Term
25.00 %	GLD	SPDR Gold Trust	Commodity, Gold

Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).

Historical Returns

Harry Browne Permanent Portfolio - Historical returns and stats:

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Range	Returns Aug 2019	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+4.20%		0.00%	1 - 0
YTD	+15.22%		0.00%	8 - 0
1Y	+13.21%	6.27%	-2.97% Sep 2018 - Oct 2018	10 - 2
3Y	+5.73% annualized	5.46%	-5.91% Sep 2016 - Dec 2016	24 - 12
5Y	+5.28% annualized	5.88%	-6.98% Aug 2016 - Dec 2016	35 - 25
10Y	+6.97% annualized	6.07%	-6.98% Aug 2016 - Dec 2016	73 - 47
MAX Dec 2004	+7.13% annualized	6.61%	-12.62% Mar 2008 - Oct 2008	107 - 69

* Annualized St.Dev. of monthly returns

Best Medium Risk Porftolios, ordered by 10Y annualized return.

Portfolio	10Y Return ▾	#ETF	Stocks	Bonds	Comm.
Couch Scott Burns	+8.72%	2	50	50	0
All Weather Portfolio Ray Dalio	+7.86%	5	30	55	15
Stocks/Bonds 40/60	+7.75%	2	40	60	0
Permanent Portfolio Harry Browne	+6.97%	4	25	50	25

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since August 2009.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-6.98%	Aug 2016	Dec 2016	5	Aug 2017	8	13
-6.84%	Oct 2012	Jun 2013	9	Feb 2014	8	17
-6.70%	Feb 2015	Dec 2015	11	Apr 2016	4	15
-4.27%	Feb 2018	Oct 2018	9	Feb 2019	4	13
-3.07%	Dec 2009	Jan 2010	2	Apr 2010	3	5
-2.62%	Sep 2014	Sep 2014	1	Dec 2014	3	4
-1.85%	Jan 2011	Jan 2011	1	Feb 2011	1	2
-1.69%	Dec 2011	Dec 2011	1	Jan 2012	1	2
-1.66%	Jun 2011	Jun 2011	1	Jul 2011	1	2
-1.40%	Sep 2011	Sep 2011	1	Oct 2011	1	2
-1.26%	Jul 2014	Jul 2014	1	Aug 2014	1	2
-1.19%	May 2012	May 2012	1	Jul 2012	2	3
-1.12%	May 2016	May 2016	1	Jun 2016	1	2
-0.87%	Feb 2012	Mar 2012	2	Apr 2012	1	3
-0.83%	Sep 2017	Sep 2017	1	Nov 2017	2	3
-0.52%	Mar 2014	Mar 2014	1	Apr 2014	1	2
-0.28%	Oct 2009	Oct 2009	1	Nov 2009	1	2
-0.07%	Jul 2010	Jul 2010	1	Aug 2010	1	2

Worst drawdowns since December 2004.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-12.62%	Mar 2008	Oct 2008	8	Aug 2009	10	18
-6.98%	Aug 2016	Dec 2016	5	Aug 2017	8	13
-6.84%	Oct 2012	Jun 2013	9	Feb 2014	8	17
-6.70%	Feb 2015	Dec 2015	11	Apr 2016	4	15
-4.27%	Feb 2018	Oct 2018	9	Feb 2019	4	13
-3.07%	Dec 2009	Jan 2010	2	Apr 2010	3	5
-2.62%	Sep 2014	Sep 2014	1	Dec 2014	3	4
-2.11%	May 2006	Jun 2006	2	Aug 2006	2	4
-1.85%	Jan 2011	Jan 2011	1	Feb 2011	1	2
-1.69%	Dec 2011	Dec 2011	1	Jan 2012	1	2
-1.66%	Jun 2011	Jun 2011	1	Jul 2011	1	2
-1.40%	Sep 2011	Sep 2011	1	Oct 2011	1	2
-1.26%	Jul 2014	Jul 2014	1	Aug 2014	1	2
-1.25%	Oct 2005	Oct 2005	1	Nov 2005	1	2
-1.20%	May 2007	Jun 2007	2	Aug 2007	2	4
-1.19%	May 2012	May 2012	1	Jul 2012	2	3
-1.12%	May 2016	May 2016	1	Jun 2016	1	2
-0.93%	Mar 2005	Mar 2005	1	May 2005	2	3
-0.87%	Feb 2012	Mar 2012	2	Apr 2012	1	3
-0.83%	Sep 2017	Sep 2017	1	Nov 2017	2	3

Rolling Returns

Harry Browne Permanent Portfolio: annualized rolling and average returns

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	*Return ()**
Rolling Period	Average	Best	Worst
1 Year	+6.90%	+18.16% May 2009 - Apr 2010	-9.19% Nov 2007 - Oct 2008
2 Years	+6.70%	+16.58% Nov 2008 - Oct 2010	+0.22% Feb 2015 - Jan 2017
3 Years	+6.57%	+15.69% Nov 2008 - Oct 2011	+0.68% Oct 2012 - Sep 2015
5 Years	+6.70%	+10.11% Nov 2008 - Oct 2013	+2.72% Feb 2012 - Jan 2017
7 Years	+6.72%	+10.11% Feb 2005 - Jan 2012	+3.19% Nov 2011 - Oct 2018
10 Years	+6.66%	+8.37% Feb 2005 - Jan 2015	+5.58% Mar 2008 - Feb 2018

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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		Months
Year	Return	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	+15.22%	3.0	0.5	1.4	0.5	0.3	4.1	0.5	4.2
2018	-1.76%	1.3	-2.2	0.4	-0.6	0.9	-0.5	0.0	0.8	-0.8	-2.2	1.1	0.2
2017	+10.97%	2.0	2.2	-0.3	1.1	0.7	-0.1	0.9	2.0	-0.8	0.4	1.1	1.3
2016	+5.54%	1.3	3.6	1.3	1.4	-1.1	4.2	2.0	-1.1	-0.2	-2.5	-3.3	-0.1
2015	-3.06%	3.9	-1.8	-0.6	-0.8	-0.1	-1.8	-0.1	-0.9	-0.7	2.4	-1.7	-0.7
2014	+9.40%	1.6	2.9	-0.5	0.7	0.5	2.1	-1.3	2.4	-2.6	0.7	1.4	1.2
2013	-2.08%	0.4	-0.6	1.2	-0.2	-2.4	-3.5	2.6	-0.2	0.3	1.6	-0.9	-0.2
2012	+6.41%	4.0	-0.3	-0.5	0.9	-1.2	1.2	1.4	1.6	1.2	-1.4	0.4	-0.9
2011	+11.11%	-1.9	2.8	0.5	3.6	0.1	-1.7	2.7	4.2	-1.4	2.7	0.9	-1.7
2010	+13.92%	-0.5	1.6	1.0	2.8	0.0	0.7	-0.1	2.6	2.6	0.7	0.3	1.5
2009	+7.85%	-3.9	-2.5	2.0	0.1	3.3	-1.2	2.8	1.5	3.2	-0.3	5.5	-2.6
2008	+0.87%	1.8	0.8	-1.3	-0.7	0.1	-0.1	-0.6	-1.5	-0.6	-8.5	5.6	6.5
2007	+12.69%	1.0	1.2	-0.3	1.9	-0.1	-1.1	0.6	1.2	3.8	2.8	-0.3	1.6
2006	+10.94%	3.0	0.1	0.5	3.0	-1.1	-1.0	1.5	1.0	-0.2	1.5	3.1	-0.7
2005	+8.91%	-0.6	0.9	-0.9	0.8	0.8	1.8	-0.1	1.0	1.1	-1.3	2.9	2.2

* Note:
Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

BIL - SPDR Blmbg Barclays 1-3 Mth T-Bill: simulated historical serie, up to December 2007