Golden Ratio — Tactical Asset Allocation Strategy
Multi-asset portfolio blending growth equities, value factor, long treasuries, gold, managed futures, and cash. The allocation follows golden ratio proportions across uncorrelated asset classes. Managed futures provide crisis alpha while small-cap value adds a return premium. Since 1992: 9.3% CAGR, -17.3% max DD, 1.18 Sortino.
Backtest Performance (1993-03-31 to 2026-04-07)
| Metric | Golden Ratio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.7% |
| Maximum Drawdown | -21.6% |
| Sharpe Ratio | 1.17 |
| Sortino Ratio | 1.60 |
| Annualized Volatility | 9.0% |
| Calmar Ratio | 0.49 |
| Total Return | 2769.1% |
| Backtest Period | 33.1 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- annual
- Risk Level
- moderate
- Variants
- 1
- Author
- Bogleheads Community
Categories
Track Golden Ratio in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.