Articles on investing and capital management, with a quantitative focus.


#bigpicture - Big picture thoughts
#prp - Permanent Risk Parity (how I invest)
#xiutop - Top stocks of XIU index
#bullsignals - Algorithm-driven market timing
#growth - My portfolio of growth stocks

2020-01-11 Update

At year end, I evaluted the portfolio and went through the update methodology. Remember that this is not a buy-and-hold... #xiutop


PRP Performance

The PRP gained 13.3% in 2019, the largest annual return in the 24 year history. This was an unusually strong year... #prp


Scaling down my market timing

Although my BullSignals market timing has given reasonable results for a few years, I've decided to scale down... #bullsignals


Growth Portfolio 6 Month Update

My Growth portfolio slightly outperformed the TSX in this time period. Performance has been strong since inception 3 years ago... #growth


Trouble Investing New Money

Are you having trouble investing new money? Are concerns about an overvalued stock market preventing you from making purchases?... #bigpicture


I am not a Tortoise

According to Wikipedia, most tortoise species can live to around 100 years, with some living over 150 years... #bigpicture


Backtesting with the Portfolio Visualizer

One of my favourite investment-related web sites is the Portfolio Visualizer, a collection of analysis tools that can be used to study the behaviour... #bigpicture


Buy Signal

My market timing algorithm gave a buy signal today, September 6. After two weeks in cash, this resumes a long position in stocks. #bullsignals

2019-08-25 methodology

The method uses individual stocks to approximate the TSX 60 index by holding the largest weight (largest market cap)... #xiutop


Sell Signal

My market timing algorithm gave a sell signal today, August 21. This gives a +6.4% total return in XIU and +9.4% total return in SPY.... #bullsignals


Choosing My Asset Allocation

I've described some details of risk parity, but I should explain how I arrived at my PRP asset allocation. There is no ideal single asset allocation... #bigpicture


Derivation of a Risk Parity Portfolio

After learning about the risk parity concept, I tried deriving my own portfolio using three uncorrelated assets that I like... #prp


What is Risk?

As far as I know, there is no universally accepted definition of risk for investment modelling. Modern Portfolio Theory (MPT), introduced by Markowitz... #prp


I don't know what the market will do

I don't know how the economy will behave, if we'll get runaway inflation, and if stocks will continue to do well. #bigpicture


Risk Parity Doesn't Require Leverage

There are many variants of risk parity. Some risk parity hedge funds use leverage. Others dynamically adjust weights... #prp


Risk Parity - Basics

Harry Markowitz, recipient of the Nobel Prize in Economics, called diversification 'the only free lunch in finance'... #prp


Growth Portfolio 6 Month Update

My growth portfolio outperformed the TSX by several percent in this time period, continuing to show strong performance since inception... #growth


BullSignals Basics

My algorithm evaluates stock market strength and tries to detect periods of high risk... #bullsignals


Timing the market is probably a bad idea

I'm aware that it's generally a bad idea to try "market timing". Trading in and out of the market usually gives worse performance... #bullsignals


Investment goals

Here, I describe my own investment goals to provide context for the articles I write... #bigpicture


We are shaped by our experiences

Investing can mean different things to different people, and not everyone has the same priorities... #bigpicture