What is Golden Ratio?

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.

Who created the Golden Ratio strategy?

Golden Ratio was developed by Bogleheads Community. It is based on Bogleheads Community. Golden Ratio Portfolio.

What is the historical return and maximum drawdown of Golden Ratio?

Backtested from 1994-12-30 to 2026-07-03, Golden Ratio returned 9.3% CAGR with a -21.7% maximum drawdown and a Sharpe ratio of 1.13. Past performance does not guarantee future results.

How often is Golden Ratio rebalanced?

Golden Ratio is rebalanced annual. BestFolio publishes the updated allocation signal each period.

Is Golden Ratio a tactical asset allocation strategy?

Yes. Golden Ratio is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

Golden Ratio Strategy by Bogleheads Community

Name: Golden Ratio, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Golden Ratio at a glance

Golden Ratio is a tactical asset allocation (TAA) strategy by Bogleheads Community across US Large-Cap Growth, US Small-Cap Value, Long-Term Treasuries, Gold, rebalanced annual. Backtested 1994-12-30 to 2026-07-03 (31.5 years): 9.3% CAGR, 1.13 Sharpe, -21.7% max drawdown, 8.9% volatility.

Type: Tactical (TAA)
Author: Bogleheads Community
Rebalancing: Annual
Risk: Moderate
Period: 1994-12-30 to 2026-07-03
CAGR: 9.3%
Sharpe: 1.13
Max Drawdown: -21.7%
Volatility: 8.9%

Golden Ratio — Tactical Asset Allocation Strategy

The Golden Ratio portfolio blends growth equities, value factor, long treasuries, gold, managed futures, and cash using golden ratio proportions. 21% US large-cap growth (VUG), 21% US small-cap value (AVUV), 26% long-term treasuries (VGLT), 16% gold (GLD), 10% managed futures (DBMF), and 6% cash (BIL). Designed for strong risk-adjusted returns through diversification across assets with low or negative correlations.

Golden Ratio: frequently asked questions

What is Golden Ratio?: 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.
Who created the Golden Ratio strategy?: Golden Ratio was developed by Bogleheads Community. It is based on Bogleheads Community. Golden Ratio Portfolio.
What is the historical return and maximum drawdown of Golden Ratio?: Backtested from 1994-12-30 to 2026-07-03, Golden Ratio returned 9.3% CAGR with a -21.7% maximum drawdown and a Sharpe ratio of 1.13. Past performance does not guarantee future results.
How often is Golden Ratio rebalanced?: Golden Ratio is rebalanced annual. BestFolio publishes the updated allocation signal each period.
Is Golden Ratio a tactical asset allocation strategy?: Yes. Golden Ratio is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

Backtest Performance (1994-12-30 to 2026-07-03)

Metric	Golden Ratio
Compound Annual Growth Rate (CAGR)	9.3%
Maximum Drawdown	-21.7%
Sharpe Ratio	1.13
Sortino Ratio	1.64
Annualized Volatility	8.9%
Calmar Ratio	0.43
Total Return	1540.9%
Backtest Period	31.5 years

Strategy Details

Type: Tactical (TAA)
Rebalancing: annual
Risk Level: moderate
Variants: 1
Author: Bogleheads Community
Source: Bogleheads Community. Golden Ratio Portfolio

Asset Classes

US Large-Cap Growth
US Small-Cap Value
Long-Term Treasuries
Gold
Managed Futures
Cash/T-Bills

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