Performance & Risk Metrics (2016-2026)
| Metric | Ivy Portfolio | Golden Butterfly |
|---|---|---|
| CAGR (10-Year Annualized Return) | 8.8% | 8.5% |
| Max Drawdown | -14.2% | -11.0% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.64 | 0.68 |
| Strategy Type | Tactical Asset Allocation (Moving Average) | Passive Portfolio (Factor Tilted) |
| Rebalancing Frequency | Monthly (on trend signals) | Annually (fixed target weights) |
Ivy Portfolio Philosophy
Meb Faber's Ivy Portfolio allocates equally across five asset classes (US equities, international equities, REITs, commodities, and bonds) and applies a 10-month simple moving average trend filter to each. When an asset falls below its SMA, the allocation moves to cash. This tactical overlay captures diversified returns while providing systematic crash protection.
Golden Butterfly Philosophy
Created by Tyler (PortfolioCharts), the Golden Butterfly evolves the Permanent Portfolio by adding a 20% slice of small-cap value stocks. The five equal slices (total market stocks, small-cap value, long bonds, short bonds, and gold) capture the historical value factor premium while maintaining broad economic resilience across prosperity, deflation, inflation, and recession.
Key Differences Explained
Tactical vs passive with similar risk profiles. The Ivy Portfolio uses SMA trend filters to move assets to cash during downturns, while the Golden Butterfly stays fully invested with structural factor diversification. Both deliver similar risk-adjusted returns, but the Ivy Portfolio edges ahead in drawdown protection (-14.2% vs -15.0%).
- Strategy Type: Ivy Portfolio is a tactical, actively-managed approach. Golden Butterfly is a passive, buy-and-hold approach.
- Return vs Risk: Ivy Portfolio delivered 8.8% CAGR with -14.2% max drawdown (Sharpe: 0.64). Golden Butterfly delivered 8.9% CAGR with -15.0% max drawdown (Sharpe: 0.68).
- Maintenance: Ivy Portfolio requires monthly signal monitoring. Golden Butterfly needs only annual rebalancing.
Side-by-Side Pros and Cons
Ivy Portfolio Strengths & Limits
- Broad 5-asset diversification across real and financial assets
- SMA trend filter provides systematic crash protection
- Moderate complexity — straightforward monthly check
- Can lag in strong trending bull markets due to diversification
- Commodities allocation can be a long-term drag
- Monthly trend signals can whipsaw in choppy markets
Golden Butterfly Strengths & Limits
- Higher returns than Permanent Portfolio via value factor tilt
- Better Sharpe ratio than most passive portfolios
- Maintains structural resilience across economic regimes
- Small-cap value can underperform for extended periods
- More complex than simple 60/40 with 5 asset classes
- Gold and long bonds can be volatile independently
Which Strategy is Right For You?
Choose Ivy Portfolio if: You want tactical crash protection that can move to cash during extended bear markets. The Ivy Portfolio's trend filters provide a systematic safety mechanism.
Choose Golden Butterfly if: You prefer a fully invested passive approach with documented factor exposure. The Golden Butterfly's value tilt and structural diversification work without market timing.