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 6.64% compound annual return, with a 6.03% standard deviation (Last Update: October 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 Oct 2019	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+0.94%		0.00%	1 - 0
YTD	+15.03%		-1.10% Sep 2019 - Sep 2019	9 - 1
1Y	+16.47%	5.40%	-1.10% Sep 2019 - Sep 2019	11 - 1
3Y	+6.61% annualized	5.26%	-4.27% Feb 2018 - Oct 2018	25 - 11
5Y	+5.65% annualized	5.76%	-6.98% Aug 2016 - Dec 2016	35 - 25
10Y	+6.64% annualized	6.03%	-6.98% Aug 2016 - Dec 2016	73 - 47
MAX Dec 1977	+8.32% annualized	7.17%	-12.62% Mar 2008 - Oct 2008	323 - 179

* Annualized St.Dev. of monthly returns

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

Portfolio	10Y Return ▾	#ETF	Stocks	Bonds	Comm.
Couch Potato Scott Burns	+8.64%	2	50	50	0
Stocks/Bonds 40/60	+7.76%	2	40	60	0
All Weather Portfolio Ray Dalio	+7.65%	5	30	55	15
Edge Select Moderately Conservative Merrill Lynch	+6.93%	12	37	63	0
Lifepath Fund iShares	+6.71%	6	40.42	59.58	0

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since October 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
-1.10%	Sep 2019	Sep 2019	1	in progress	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
-0.07%	Jul 2010	Jul 2010	1	Aug 2010	1	2

Worst drawdowns since December 1977.

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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
-11.68%	Dec 1980	Mar 1982	16	Aug 1982	5	21
-11.38%	Feb 1980	Mar 1980	2	Jun 1980	3	5
-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
-5.79%	Sep 1987	Nov 1987	3	Jan 1989	14	17
-5.42%	Sep 2000	Mar 2001	7	Mar 2002	12	19
-5.35%	Jul 1998	Aug 1998	2	Oct 1998	2	4
-5.31%	Nov 1978	Nov 1978	1	Jan 1979	2	3
-5.13%	Jul 1983	Jul 1984	13	Oct 1984	3	16
-4.53%	Jan 1990	Apr 1990	4	Dec 1990	8	12
-4.50%	Oct 1979	Oct 1979	1	Nov 1979	1	2
-4.27%	Feb 2018	Oct 2018	9	Feb 2019	4	13
-4.20%	Apr 2004	Apr 2004	1	Oct 2004	6	7
-4.02%	Jun 2002	Jul 2002	2	Dec 2002	5	7
-3.63%	Feb 1994	Apr 1994	3	Feb 1995	10	13
-3.55%	May 1999	Aug 1999	4	Oct 1999	2	6
-3.07%	Dec 2009	Jan 2010	2	Apr 2010	3	5
-2.70%	Feb 1983	Feb 1983	1	Apr 1983	2	3

Rolling Returns

Harry Browne Permanent Portfolio: annualized rolling and average returns

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	*Return ()**			Negative Periods
Rolling Period	Average	Best	Worst	Negative Periods
1 Year	+8.48%	+45.29% Feb 1979 - Jan 1980	-9.87% Oct 1980 - Sep 1981	12.63%
2 Years	+8.20%	+30.12% Jul 1978 - Jun 1980	-4.36% Jul 1980 - Jun 1982	1.04%
3 Years	+7.92%	+21.45% Jan 1978 - Dec 1980	+0.68% Oct 2012 - Sep 2015	0.00%
5 Years	+7.90%	+16.49% May 1978 - Apr 1983	+2.72% Feb 2012 - Jan 2017	0.00%
7 Years	+7.89%	+14.07% Apr 1979 - Mar 1986	+3.19% Nov 2011 - Oct 2018	0.00%
10 Years	+7.82%	+13.00% Feb 1978 - Jan 1988	+5.58% Mar 2008 - Feb 2018	0.00%
15 Years	+7.66%	+11.02% Jul 1978 - Jun 1993	+5.69% Aug 1987 - Jul 2002	0.00%

* 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	+15.03%	3.0	0.5	1.4	0.5	0.3	4.1	0.5	4.2	-1.1	0.9
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
2004	+6.83%	0.1	0.7	1.8	-4.2	0.6	1.0	-0.8	2.1	1.2	1.5	2.2	0.6
2003	+13.32%	0.7	-1.0	-1.1	2.5	4.9	-1.1	-1.3	2.4	1.9	0.8	1.3	2.6
2002	+5.85%	0.6	1.2	0.3	0.4	1.4	-1.8	-2.3	2.1	0.1	-0.0	1.1	2.6
2001	-0.52%	0.3	-1.7	-2.5	1.8	0.8	0.2	0.2	-0.1	0.2	0.6	-0.1	0.0
2000	+2.40%	-1.2	2.4	0.9	-1.5	-1.1	3.2	-0.9	2.5	-1.6	-0.7	-1.0	1.7
1999	+5.17%	1.0	-1.9	0.4	2.0	-2.4	0.6	-1.4	-0.3	3.6	1.8	0.2	1.8
1998	+10.09%	2.0	1.1	1.8	1.3	-1.6	1.9	-1.3	-4.2	4.3	1.3	2.1	1.2
1997	+7.19%	-0.3	0.9	-2.3	1.3	2.6	1.0	3.1	-1.7	2.9	-1.5	0.5	0.7
1996	+5.08%	2.0	-1.0	-0.4	0.0	0.7	-0.2	-1.2	0.7	1.7	1.4	2.2	-1.0
1995	+18.11%	0.8	1.9	2.0	1.0	2.6	1.4	0.6	0.9	1.7	0.5	2.2	1.2
1994	-1.37%	0.5	-1.3	-1.5	-0.9	1.0	-0.8	1.3	1.2	-0.5	-0.3	-0.8	0.8
1993	+12.00%	0.8	0.8	1.5	0.8	2.6	1.3	2.0	-0.0	-1.0	1.6	-0.9	2.1
1992	+3.57%	-0.7	0.5	-1.6	0.0	1.0	0.3	3.1	-1.5	1.3	-0.8	0.9	1.1
1991	+11.72%	0.3	1.8	0.5	0.7	1.4	-0.9	1.5	0.8	1.0	0.7	-0.5	3.9
1990	+1.11%	-1.5	-0.0	-1.8	-1.3	3.1	-0.1	1.4	-2.2	0.6	-1.4	3.1	1.5
1989	+12.90%	1.3	-1.2	0.7	1.8	1.1	2.3	2.5	-0.4	0.5	0.8	2.7	0.1
1988	+4.39%	1.0	0.1	0.7	-0.3	0.0	1.5	-0.5	-1.0	0.6	2.1	-0.3	0.4
1987	+7.42%	4.4	2.0	1.3	0.5	-0.3	1.4	2.1	0.4	-1.0	-4.8	-0.1	1.6
1986	+17.64%	2.2	4.0	4.9	0.1	0.5	2.5	-1.3	4.6	-0.5	-0.1	0.5	-0.8
1985	+20.47%	3.3	-2.1	4.2	0.1	3.3	1.4	0.5	1.1	-1.5	2.2	3.3	3.3
1984	+2.22%	-0.3	0.1	-0.4	-0.9	-2.0	0.6	-0.7	4.3	0.7	1.3	-0.0	-0.2
1983	+3.46%	2.5	-2.7	1.3	3.9	-0.1	0.3	-1.8	-0.2	1.4	-2.3	2.8	-1.5
1982	+23.27%	-1.3	-2.1	-2.2	5.0	-2.4	-1.5	2.8	9.6	1.6	6.7	3.2	2.6
1981	-5.34%	-4.6	-1.2	3.5	-2.9	1.9	-2.4	-1.5	-1.4	-1.5	3.5	4.0	-2.4
1980	+13.65%	6.8	-2.3	-9.3	5.9	3.9	7.7	-1.4	0.8	2.0	-1.5	2.8	-1.3
1979	+39.77%	2.7	1.0	1.0	0.7	3.5	2.4	2.2	3.6	7.7	-4.5	5.1	9.3
1978	+12.78%	0.1	0.9	0.8	0.5	2.6	-0.4	4.4	2.8	0.9	0.3	-5.3	5.0

* 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:

VTI - Vanguard Total Stock Market: simulated historical serie, up to December 2001

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

TLT - iShares 20+ Year Treasury Bond: simulated historical serie, up to December 2002

GLD - SPDR Gold Trust: simulated historical serie, up to December 2004