Harry Browne's Permanent Portfolio allocation and returns

Harry Browne's Permanent Portfolio puts 25% each into stocks, long-term government bonds, gold and cash, one asset for each of four economic conditions he set out in Fail-Safe Investing (1999). The Permanent Portfolio Fund (PRPFX), launched in 1982 on his ideas, holds six categories instead; at 30 September 2026 that meant 18.8% gold, 4.8% silver and 33.1% dollar assets.

Against MSCI World from January 2001 to September 2026, in US dollars, PRPFX is set up for different market scenarios, losing less in every stress episode we checked, and it cushions equity falls without protecting against them. Its volatility-adjusted returns were better in all three windows we measured; its returns after fees were only partly better, ahead over the full window but not over the last 10 or 20 years.

Key takeaways

1. Set up for different market scenarios: yes. PRPFX rose 13.8% while MSCI World fell 38.1% in 2001-2002, and lost 15.1% against 54.0% in the financial crisis; our hypothetical 25x4 model also lost less in every episode, though it still fell 12.0% in 2022.
2. Guard against catastrophic equity falls: cushions, does not protect. Gold, cash and bonds kept the worst fall to 19.1% for PRPFX and 15.4% for the model, against 54.0% for MSCI World, but nothing in either pays out contractually in a crash.
3. Better volatility-adjusted returns than MSCI World: yes for PRPFX, partly for the model. PRPFX's Sharpe ratio beat MSCI World's over 10 years, 20 years and the full window; the model's trailed over 10 years (0.65 against 0.73).
4. Better returns net of fees than MSCI World: partly for PRPFX, no for the model. PRPFX compounded 10.0% a year against 12.8% over 10 years and 7.8% against 8.6% over 20 years, and won only over the full window (8.6% against 7.5%); the model trailed in all three.
5. Browne's rule and the fund differ, and gold did much of the work. He rebalanced only outside a 15% to 35% band; the fund holds silver, Swiss francs and short bonds; and gold supplied 3.0 of the model's 7.1 percentage points of average annual return.

How does the Permanent Portfolio score on our four tests?

We judge PRPFX, net of its fees, and our hypothetical 25x4 model (25% each in US stocks, long-term Treasuries, gold and T-bills) against MSCI World Net in US dollars, with one-month Treasury bills as cash, using monthly returns to September 2026. MSCI World is a developed-market equity index, not a balanced benchmark. The fund and the model share the first two verdicts and differ on the last two.

Windows: 10 years, Oct 2016 to Sep 2026; 20 years, Oct 2006 to Sep 2026; full window, Jan 2001 to Sep 2026.

What is Harry Browne's Permanent Portfolio?

The Permanent Portfolio is a fixed mix designed to protect savings without forecasting the economy. Harry Browne (1933 to 2006), an American investment writer and the Libertarian Party's presidential candidate in 1996 and 2000, set it out as Rule 11 of Fail-Safe Investing (St. Martin's, 1999). He argued that markets respond to four broad economic conditions, and that "at any time, one of them will predominate." He mapped one investment to each, in his words as reproduced in Derek Sivers' notes on the book:

His weighting rule was deliberately plain: "I prefer the simplicity of allocating 25% to each of the four investments." For bonds he named the longest US Treasury, close to 30 years; for gold, bullion coins; for cash, a money market fund holding only short-term Treasuries. The portfolio was for savings you cannot replace, and Rule 7 of the same book is "Invest only on a cash basis".

How did Browne say to rebalance the Permanent Portfolio?

Browne did not rebalance on a calendar: he checked once a year and acted only if an asset had drifted outside a 15% to 35% band.

"If any of the four investments has become worth less than 15%, or more than 35%, of the portfolio's overall value, you need to restore the original percentages," he wrote, adding that a big price move during the year justifies an extra check. Many summaries, including the Wikipedia entry on the book, describe annual rebalancing; the AAII Journal (Rowland and Lawson, December 2012) gives Browne's 35% and 15% triggers.

Our 25x4 model resets to 25% each December, which is simpler than Browne's rule. Applying his band at each month-end instead triggered seven rebalances from 2001 to September 2026 and compounded 7.4% a year rather than 7.1%, with the same worst drawdown, in our calculation.

What does the Permanent Portfolio Fund (PRPFX) hold?

PRPFX holds six categories with fixed targets that only shareholders can change: gold, silver, Swiss franc assets, real estate and natural resource stocks, aggressive growth stocks and dollar assets. Its summary prospectus dated 1 June 2026 says it trades back towards target when a category strays by more than a quarter of its target percentage, normally within ninety days.

At 30 September 2026, of net assets (target in brackets): gold 18.79% (20%); silver 4.82% (5%); Swiss franc assets 7.64% (10%); real estate and natural resource stocks 17.00% (15%); aggressive growth stocks 18.70% (15%); dollar assets 33.05% (35%). Source: Permanent Portfolio quarterly fact sheet, Q3 2026, pp. 1-2 and the summary prospectus, p. 2; chart data (CSV). The actual weights sum to 100.0%.

The fund had $7,176 million of net assets, and its Class I shares cost 0.79% a year. Its ten largest holdings made up 40.0% of net assets, by our sum, led by gold bullion (13.46%), gold coins (5.33%) and silver bullion (4.82%). Stocks were 35.7% of the fund, not 25%, tilted towards resources, property and fast-growing companies such as Palantir and NVIDIA.

Dollar assets were mostly corporate bonds (21.45% of the fund, against 10.55% in US Treasuries), with an effective duration of 2.29 years for corporates and 4.39 for US and Swiss government bonds, far less rate-sensitive than a 30-year Treasury.

The Christian Science Monitor reported on 9 May 1983 that Terry Coxon had begun the fund, that "Mr. Coxon got his idea for the fund from Harry Browne", and that he had hired Browne as a consultant. The fund's own history page calls Browne "one of the founders of the fund", and its Class I shares date from 1 December 1982. Pacific Heights Asset Management has advised it since 1 May 2003, with Michael J. Cuggino as portfolio manager.

It is the closest relative of Ray Dalio's All Weather portfolio in this series, but it splits money equally rather than balancing volatility, and it never borrows. All Weather uses leverage of "around 2 times", in Dalio's 2011 description; Browne's Rule 7 rules borrowing out, so volatile gold drives far more of the portfolio's swings than cash does.

Is the Permanent Portfolio set up for different market scenarios?

Yes: in each of the stress episodes we checked from 2001 to 2022, both PRPFX and the 25x4 model lost less than MSCI World, and in the long rallies both gained less.

In those 29 falling months, PRPFX rose in 5 and the model in 8. Correlation with MSCI World over the full window was 0.71 for PRPFX (beta 0.44) and 0.56 for the model (beta 0.25), so both kept a large part of their swings separate from equities.

2022 was the model's weakest case. The Vanguard funds in it returned -19.6% for US stocks and -29.6% for long-term Treasuries, while gold was roughly flat (-0.1%) and T-bills earned 1.4%. The monthly correlation between those stock and bond funds was -0.32 from 2001 to 2020 and +0.55 from 2021 to September 2026, in our calculation.

Browne expected stocks and bonds to suffer in inflation and tight money, and relied on gold and cash to offset them; in 2022 gold did not rise, and a quarter in cash could not make up the difference. PRPFX's much shorter bonds explain why it lost only 5.49% that year, according to the fund.

Our articles on bonds when interest rates rise and 36 years of asset class correlations show why such relationships shift. By these measures the Permanent Portfolio is diversified by driver, not just by label, but how much it helps depends on which shock arrives.

Does the Permanent Portfolio guard against catastrophic equity falls at all?

It cushions them through assets with different drivers; it does not protect against them, because nothing in it pays out contractually when stocks crash. Gold, T-bills and government bonds can hold or gain value in an equity crash, and stocks are only a quarter of the model and about a third of the fund. Neither holds put options or short positions.

PRPFX regained its 2008 peak seven months after the trough; MSCI World took over four years, which is why recovery time matters as much as the size of a loss. The cushion has limits, and gold itself fell sharply inside crisis periods. Smaller falls in the past are not a guarantee of smaller falls in the next crash.

Are the Permanent Portfolio's volatility-adjusted returns better than MSCI World?

For PRPFX, yes in all three windows, though narrowly over 10 years; for the 25x4 model, partly: better over 20 years and the full window, worse over 10 years. The Sharpe ratio divides the average monthly return above cash by the volatility of that excess return, annualised.

The Sortino ratio divides the same excess return by downside deviation, so only months that fell short of cash enter the denominator. Volatility is not the same as the permanent losses covered in the previous test, so these ratios describe the smoothness of the ride, not its safety.

The rolling windows run monthly from January 2001; "won" means a higher ratio than MSCI World over the same ten years. PRPFX's lead is wide over the full window because MSCI World lost 38.1% in 2001-2002 and 54.0% in 2007-2009, and much narrower over the last decade.

At equal volatility, the gap is clearer: MSCI World diluted with 37.3% T-bills to PRPFX's 9.6% volatility compounded 5.6% a year from 2001, with a worst drawdown of 37.3%, against 8.6% and 19.1% for the fund; at the model's 6.9% volatility, the equivalent mix compounded 4.6%, against 7.1%.

January 2001 to September 2026, in USD: PRPFX compounded 8.6% a year with a worst drawdown of -19.1%; the hypothetical 25x4 model 7.1% and -15.4%; MSCI World 7.5% and -54.0%; MSCI World diluted with 37.3% T-bills to PRPFX's volatility 5.6% and -37.3%. Source: our calculations from month-end total returns (PRPFX and MSCI World monthly data, 25x4 model monthly data); chart data (CSV). Historical and window-dependent, not a forecast.

Simple theory says a higher Sharpe ratio raises the growth reachable by scaling a strategy with borrowing, but for PRPFX the fastest growth would have needed exposure of about 7.6 times the capital (stable, normal returns; our calculation), which Browne's Rule 7 rejects; an unlevered investor gets the portfolio's own growth rate.

The fund's fact sheet reports a Sharpe ratio of 0.41 for its Class I shares from January 1983 to September 2026, a different window, without stating the risk-free rate or return frequency; ratios also move with the choice of risk-free rate.

Are the Permanent Portfolio's returns net of fees better than MSCI World?

Partly for PRPFX, which beat MSCI World only over the full window that starts with the 2001-2002 bear market; no for the 25x4 model, which trailed in all three windows. Fund returns are net of fees; MSCI World Net is an index and carries no costs, while a fund that tracks it does (the iShares Core MSCI World UCITS ETF charges 0.20% a year), so a shortfall smaller than such a fee counts as close rather than a clear loss.

PRPFX's shortfalls over 10 and 20 years, 2.8 and 0.8 points a year, are far larger than that tracker fee. Over the full window $10,000 grew to $84,310 in PRPFX, $58,194 in the model and $63,818 in MSCI World; after US consumer price inflation of 2.6% a year, PRPFX compounded about 5.9% in real terms and MSCI World 4.7%, in our calculation.

Gold and the start date decide much of this.

Over the full window gold supplied 3.0 of the model's 7.1 percentage points of average annual return; holding that quarter in T-bills instead would have cut its growth to 4.5% a year. Cash pulled the other way: T-bills compounded 1.8% a year, below inflation, and the model with its cash shared among the other three assets compounded 8.7% a year, with volatility of 9.1% and a worst drawdown of 20.7%.

Weighing the four results

The Permanent Portfolio gave up a large share of equity returns in long rallies in exchange for much smaller falls in crises, and over 2001 to 2026 that exchange left PRPFX ahead of MSCI World on volatility-adjusted returns and, from that start date, on growth too.

Measured from 2006 or 2016, the same exchange cost growth, and much of the gain that did come rested on gold in two periods. The 25x4 model kept the smoother ride but not the higher return. Which of these matters more depends on the reader's own spending needs and tolerance for losses.

What can an individual investor learn from Harry Browne?

Browne's lasting point is that a portfolio can be built around what you cannot predict. His fixed weights are one answer for one era of US markets, but his questions remain useful:

• Which economic condition would hurt your portfolio most: prosperity ending, inflation, tight money or deflation?
• Do your bonds and stocks have different drivers, or did they fall together in 2022?
• How much of your past return came from one asset in one period, as gold did here?
• Is your cash a deliberate reserve for tight money, or money losing purchasing power by default?
• Do you have a rule for when to rebalance, and would you follow it after a large loss?

Our conservative asset allocation guide compares this kind of defensive mix with other approaches.

How can copio help you examine your own allocation?

Copio is in private beta across Europe, with early access by application. It looks through your funds into asset classes and places each on a return-correlation map as a main driver, a true diversifier, dead weight or a shock absorber, so you can see whether your holdings differ by driver or only by label.

A correlation matrix shows which holdings move together, a crash test shows how a mix like yours would have fared in past crises, and an efficient frontier plots your portfolio against a modelled frontier of assumed growth and volatility, labelled as not a forecast. Copio provides educational analysis, not personalised advice; it does not place trades or choose an allocation for you. The free portfolio checker is a first step.