CapitalTime

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

#prp - Permanent Risk Parity (how I invest)

Eight Year Portfolio Anniversary

2024-03-22

I started my PRP portfolio exactly 8 years ago. Over these years, PRP has returned 6.0% CAGR. This is slightly lower than the long term theoretical 6.4% return.

Inflation in Canada has been 2.9% (annualized) over this period, according to official inflation figures. PRP therefore had a 3.0% real return.

Although this is a reasonable real return, I am becoming concerned that the government may be under-reporting inflation.

Performance comparison

I will compare my portfolio to XBAL, a low-fee 60/40 balanced fund which has some of the same holdings. Both portfolios are bond-heavy.

The performance of XBAL in this period was 6.2% CAGR, slightly higher than PRP. They're both in the same ballpark.

— Jem Berkes