Golden Ratio
Allocate 21% to VUG (US large-cap growth). Allocate 21% to AVUV (US small-cap value). Allocate 26% to VGLT (Long-Term Treasury). Backtest max drawdown: -19.9%.
Strategy & methodology
Allocate 21% to VUG (US large-cap growth); Allocate 21% to AVUV (US small-cap value); Allocate 26% to VGLT (Long-Term Treasury); Allocate 16% to GLD (Gold); Allocate 10% to DBMF (Managed Futures); Allocate 6% to BIL (T-Bill cash proxy)…
- Strategy type:
- Fixed allocation
- Rebalance frequency:
- Annual
- Original publication:
- 2020-07-13; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (4)
- AVUV: DFSVX before Sep 26, 2019
- DBMF: KMLM before May 8, 2019
- VGLT: TLT before Nov 24, 2009
- VUG: VIGRX before Jan 30, 2004
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Allocate 21% to VUG (US large-cap growth). Allocate 21% to AVUV (US small-cap value). Allocate 26% to VGLT (Long-Term Treasury). Backtest max drawdown: -19.9%. This is a fixed-allocation portfolio. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The annual signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version a3edd38f, published 2026-10-01
Is Golden Ratio still working in 2026?
Golden Ratio returned 9.37% over the trailing 12 months and 56.44% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 9.22%. Its full-backtest maximum drawdown was -19.85%. The full sample contains 8103 daily NAV observations from 1994-12-30. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -3.16% below its high-water mark of 2026-08-27, 35 days ago, and its longest run below a previous high was 2.1 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 9.37% | Not annualized | -6.69% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 56.44% | Not annualized | -10.11% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 1544.55% | 9.22% | -19.85% | 8103 | 1994-12-30 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-08-27, 35 days before 2026-10-01, and it is -3.16% below that level now. The longest run below a previous high in the full backtest was 2.1 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Golden Ratio at a glance
Golden Ratio is a fixed-allocation portfolio by Frank Vasquez (Risk Parity Radio) across US Large-Cap Growth, US Small-Cap Value, Long-Term Treasuries, Gold, rebalanced annual. Backtested 1994-12-30 to 2026-10-01 (31.8 years): 9.2% CAGR, 1.13 Sharpe, -19.9% max drawdown, 8.5% volatility.
- Type
- Fixed Allocation
- Author
- Frank Vasquez (Risk Parity Radio)
- Rebalancing
- Annual
- Risk
- Moderate
- Period
- 1994-12-30 to 2026-10-01
- CAGR
- 9.2%
- Sharpe
- 1.13
- Max Drawdown
- -19.9%
- Volatility
- 8.5%
Golden Ratio — Fixed Allocation Portfolio
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 Frank Vasquez (Risk Parity Radio). 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 2026-10-01, Golden Ratio returned 9.2% CAGR with a -19.9% 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 fixed or tactical strategy?
- Golden Ratio is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.
Backtest Performance (1994-12-30 to 2026-10-01)
| Metric | Golden Ratio |
|---|---|
| CAGR | 9.2% |
| Max Drawdown | -19.9% |
| Sharpe | 1.13 |
| Sortino | 1.94 |
| Volatility | 8.5% |
| Calmar | 0.46 |
| Total Return | 1544.5% |
| Backtest Period | 31.8 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- annual
- Risk Level
- moderate
- Variants
- 1
- Author
- Frank Vasquez (Risk Parity Radio)
- 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
Categories
Further reading
Holding Golden Ratio alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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.
Related research
- A Backtest Has More Than One Start Date: Golden Ratio Rolling StartsGolden Ratio Dual Gate compounds at 19.9% over the full backtest, yet its rolling 5-year outcomes ranged from 12.1% to 31.7% depending on the start month. We replayed all 160 eligible starts, lump sum and DCA, from the production series.
- The Hidden Financing Spread Inside a 2x UCITS ETFLVWC charges 0.60%, but that figure sits after the leveraged index has already paid for borrowing. We trace every layer and use Amundi's older 2x USA fund to show what can be measured today.
- DCA Into a Leveraged ETF: The Return Path Matters More Than the AverageRegular contributions helped a synthetic 2x S&P 500 position across long historical windows, but they never removed sequence risk. In 5,000 block-resampled 15-year paths, the leveraged route still trailed 24.74% of the time.