The Golden Ratio Portfolio by Frank Vasquez is a risk parity asset allocation that mixes modern assets in classic percentages to balance risk.
Home Country
Portfolio Charts is able to translate portfolio information to the local currency, inflation, and available funds of many different countries. Choose the home country where you live, and it will update every section of the page.
Asset Allocation
How to build a Golden Ratio Portfolio
| % | Asset Class |
|---|---|
| 21% | Europe Large Cap Growth Stocks |
| 21% | Europe Small Cap Value Stocks |
| 26% | Europe Long Term Treasury Bonds |
| 6% | Europe Treasury Bills |
| 16% | Global Gold |
| 10% | Global Commodities |
Asset Notes
- Frank specifically calls for 10% managed futures. I don’t have data for that asset, so I allocated it to commodities (which tracks an index of commodities futures). That at least covers a portion of many managed futures funds and is similarly uncorrelated to both stocks and bonds.
Managed futures are complex instruments with lots of moving parts, and this is admittedly not an ideal match. So be aware that there may be significant tracking error with this portion of the portfolio in the Portfolio Charts numbers.
For another asset option consistent with past iterations of the Golden Ratio Portfolio, you might also consider REITs. That’s what Frank allocated to the 10% slot before switching the default recommendation to managed futures.
Author
Frank Vasquez
Frank Vasquez holds degrees in economics, engineering, and law while applying them all in the financial independence community. You can learn about his investing ideas on his podcast Risk Parity Radio. Frank encourages fans to show their support by donating to his favorite local charity, the Father McKenna Center.
Overview
The Golden Ratio Portfolio is named after an ancient mathematical fascination with the specific ratio 1.618 that appears often in nature and has long been associated with elegance and beauty. The portfolio percentages thus flow down from the largest 42% stock allocation to the smallest 6% following the golden ratio at each step along the way.
While the structure of the portfolio reflects the depth of Frank Vasquez’s knowledge in the history of art and science, the economic concepts are strictly contemporary. Frank is an accomplished portfolio voice in his own right with a particular skill in explaining risk parity concepts to normal people.
Within the golden ratio framework, each asset is positioned into the right spot to balance the portfolio as a whole. With specific allocations to both growth and value stocks and also a sizable allocation to alternatives like commodities and gold, it utilizes modern investing concepts in classic percentages to survive and thrive in any market condition.
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Performance
Since 1970, an investor in Germany holding the Golden Ratio Portfolio earned an average 6.0% real return, with a baseline CAGR of 5.2% over 15 years. It supported a 5.1% safe withdrawal rate for 30 years and 4.3% indefinitely. Its worst peak-to-trough loss was 20%, and the longest a new investment spent below water was under 9 years.
Golden Ratio Portfolio Performance
| # | Metric | What it measures |
|---|---|---|
| 6.0% | Average return | Mean annual return after inflation |
| 5.2% | Baseline real return (15 years) | What 15-year stretches returned in the weaker outcomes |
| 5.1% | Safe withdrawal rate (30 years) | Highest spending rate that lasted 30 years in the worst case |
| 4.3% | Long-term withdrawal rate | The SWR floor over very long retirements |
| 20% | Deepest drawdown | Worst peak-to-trough loss after inflation |
| 9 years | Longest drawdown | Longest a new investment stayed below what you put in |
| 11.3% | Volatility (standard deviation) | Year-to-year variation in returns |
Stats for all home countries
Summary Stats by Home Country
| Home country | Average | Baseline | SWR | LTWR | Deepest | Longest | Volatility |
|---|---|---|---|---|---|---|---|
| Australia (aus) | 5.2% | 3.8% | 4.5% | 3.7% | 24% | 10 years | 10.1% |
| Canada (can) | 5.8% | 3.6% | 5.2% | 4.2% | 20% | 6 years | 8.9% |
| France (fra) | 6.2% | 5.3% | 5.4% | 4.6% | 20% | 7 years | 10.5% |
| Germany (deu) | 6.0% | 5.2% | 5.1% | 4.3% | 20% | 9 years | 11.3% |
| Italy (ita) | 6.2% | 4.9% | 5.7% | 4.6% | 21% | 5 years | 10.5% |
| Japan (jpn) | 5.5% | 2.4% | 3.5% | 2.6% | 27% | 15 years | 12.6% |
| Netherlands (nld) | 5.7% | 4.8% | 4.8% | 4.0% | 27% | 10 years | 11.5% |
| Spain (esp) | 5.4% | 4.4% | 4.5% | 3.7% | 20% | 13 years | 11.8% |
| Sweden (swe) | 7.0% | 5.9% | 5.7% | 5.0% | 22% | 8 years | 11.8% |
| Switzerland (che) | 5.2% | 3.6% | 4.1% | 3.2% | 31% | 14 years | 13.2% |
| United Kingdom (gbr) | 6.0% | 4.3% | 5.0% | 4.2% | 20% | 10 years | 10.8% |
| United States (usa) | 6.8% | 5.6% | 6.2% | 5.3% | 19% | 4 years | 9.0% |
To see this portfolio from a specific home country’s perspective, link readers to this page with ?home=COUNTRY added to the URL, using the codes shown in parentheses in the table above (e.g. ?home=aus). The portfolio itself is fixed by the page, so ?pk= has no effect here. More in the Guide for AI Assistants.
Charts
Different ways to visualize the Golden Ratio Portfolio
Comparisons
How the Golden Ratio Portfolio compares to other options
Alternatives
Portfolios with a similar structure or design intent
Golden Butterfly — Very similar concept with more cash and different large caps
All Seasons Portfolio — A similar investing philosophy built around economic risk parity
Weird Portfolio — A different twist including international diversification
Articles
Insights that mention the Golden Ratio Portfolio
Discussion
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