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

PRP: Permanent Risk Parity

The core of my investment strategy is the Permanent Risk Parity (PRP) asset allocation. Here's how I arrived at this asset allocation.

PRP offers strong diversification and low volatility. The allocations are 30% stocks, 50% bonds or GICs, 20% gold, with annual rebalancing. My model portfolio for a Canadian PRP is:


Withdrew from PRP

I have one investment account which needs to be liquidated before moving elsewhere. This is a "forced selling" scenario... #prp


Beware the high premium on MNT

My allocation to gold is currently spread across several different ETFs, as I wrote about earlier... #prp


Note on MNT for gold exposure

My PRP model portfolio has 20% weight in gold bullion, which I show as MNT in the model portfolio. MNT is nice because... #prp


PRP Response to Market Crash

Today saw historic moves in the stock market. The S&P 500 declined 7.6% and Canada's TSX fell an incredible 10.3%... #prp


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


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


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