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
#growth - My portfolio of growth stocks


Eight Year Portfolio Anniversary

I started my PRP portfolio exactly 8 years ago. Over these years, PRP has returned 6.0% CAGR... #prp


Shutting Down BullSignals

I've been using this trend-following algorithm (BullSignals) for a few years, and began trading a dedicated account in January 2020... #bullsignals


PRP Annual Performance

The PRP allocation was up 10.6% in 2023. This was one of the stronger years in my historical data... #prp

2023-12-22 Update

There is no change to the portfolio this year, and the holdings have remained the same since 2020. The portfolio is designed... #xiutop


New All Time High in PRP

My PRP asset allocation reached a new all time high this month. This finally ends a rather long (nearly 2 year) period where the portfolio... #prp


Peeking at Asset Class Performance

I try to focus on my overall portfolio performance, but today I peeked at the individual asset classes to look at how they... #prp


Why Invest in Bonds?

Bonds have performed very poorly in the last 3 years, with negative returns in 2021, 2022, and 2023 so far. The recent terrible performance... #bigpicture


Sold All Growth Positions

I'm trying something new with my Growth portfolio. Over several years, I have observed that my stocks track the benchmark index... #growth


Another Sell Signal

My market timing algorithm gave a Sell signal on August 21. This is the fifth signal this year, which is more than I would like to see... #bullsignals


Don't Believe the Forecasts

Analysts and economists frequently appear in the media, giving their forecasts for all kinds of things - recessions, inflation, interest rates... #bigpicture


Growth Portfolio Annual Update

My Growth stock portfolio continues to outperform the Canadian benchmark. I screen for profitability and price momentum... #growth


Seven Year Portfolio Anniversary

I started my PRP portfolio 7 years ago. Over these years, PRP has returned 5.6% CAGR. This return is somewhat lower than... #prp


Volatility and Risk-Adjusted Return

One of the main goals of my PRP portfolio is to have lower volatility, and (by extension) a better risk-adjusted return... #prp


Listen to the Federal Reserve

These comments are about the US Federal Reserve (or "Fed") and their policy interest rate. The Bank of Canada usually follows... #bigpicture


PRP Annual Performance

The PRP allocation declined -7.5% in 2022. This was the worst calendar year loss in my historical data... #prp


Rebalancing My Portfolio

To maintain my portfolio allocation targets, I make sure that I invest new money into whichever asset(s) are the most underweight... #prp


Why You Should Not Use My Risk Parity Portfolio

I post about my risk parity portfolio frequently on this personal blog or investing journal, because it's how I invest... #bigpicture


Market Turning Bullish?

My market timing algorithm gave a Buy signal on November 18, which is the first new signal in ten months. I'm a bit surprised... #bullsignals


Not a Great Year So Far

Many asset classes have been declining this year. Like most investors, I have a negative return year-to-date (YTD). We are now entering... #prp


Is This a Market Bottom?

Since we just had a large drawdown (23% drop in stocks), could this be a market bottom and the start of a new rally?... #bigpicture


Handling Market Declines

The markets have been uncooperative so far this year. As both stocks and bonds decline sharply, I've been reminding myself of a few things... #bigpicture


Growth Portfolio Annual Update

I updated my Growth portfolio today. My screening process looks for a mix of profitability and price momentum, so it's probably... #growth


Bonds Are a Good Investment

Researchers have updated (and corrected) historical stock and bond data, providing a more complete picture of historical returns... #bigpicture


Exiting my Growth Positions

I normally hold all of my growth and momentum stock picks for a set time period, and then re-run my screening to update the portfolio... #growth


Six Year Portfolio Anniversary

I started my PRP portfolio exactly 6 years ago. Over these years, PRP has returned 6.5% CAGR. This is a good return... #prp


Yikes, inflation is very high!

Today, the US inflation rate hit a 40 year high. Canada's inflation rate is a bit lower, but still at a multi-decade high... #prp


PRP Annual Performance

The PRP gained 6.0% in 2021. In the historical context, that's a very average year... #prp


Rebalancing the Model Portfolio

I record daily values of a "model portfolio" for my PRP allocation. My actual investments are very similar, but not identical, to the model... #prp


Sell Signal

My market timing algorithm gave a "sell" signal today. It's picking up weakness in non-US markets and projecting that... #bullsignals


Here's Diversification In Action

The markets have been a bit volatile over the last week. Although this is a very short timeframe, the last week provides an example of how... #prp


Investment Portfolio Goals

I've been using the PRP investment portfolio for a while now, and thought it would be good to review my goals. Here's what I want... #prp


Buy Signal

My market timing algorithm gave a "buy" signal today, so I bought the S&P 500 index. Not much time has passed since the recent... #bullsignals


Sell Signal

My market timing algorithm gave a "sell" signal today, so I sold the S&P 500 index. This is only within a small account... #bullsignals


Investing With Crash Protection

I have two distinct strategies for investing while also having some protection from crashes and extreme volatility. One is Bullsignals... #bigpicture


Reflecting on BullSignals During Covid

I continue to run my algorithm-based trend following strategy, to a limited extent. I keep this in a separate account... #bullsignals


Growth Portfolio Annual Update

My Growth portfolio underperformed the TSX over the last year. Several holdings no longer meet my screening criteria and have been replaced... #growth


Why I chose XIU and ZSP

Many people have asked why I use XIU and ZSP for the equity components in my portfolio, as opposed to VEQT or XAW... #prp


Buying Bonds in PRP

When adding new money to my portfolio, I look at my current asset weights to find out where I am underweight. Here's how my portfolio looked... #prp


Time To Invest In Bitcoin?

No. I already committed myself to a specific portfolio strategy, based on extensive research and modelling. My portfolio is based on... #bigpicture


Five Years of PRP

I started using this asset allocation on 2016-03-22, and today I am marking the 5 year anniversary. Originally, I was using the Permanent Portfolio... #prp


Adding back into PRP

I withdrew some of my PRP back in August, and made a commitment to reinvest the money once it was possible to do so... #prp


PRP Performance

The PRP gained 11.7% in 2020, the second highest annual return in the 25 year history... #prp


Performance of Growth Portfolio

This is the 4 year anniversary of my Growth portfolio, and I'm going to review the performance of my stock picks versus the benchmark... #growth


Stocks Are Always Scary

COVID-19 certainly qualifies as a true catastrophe, but it won't be the last stock market disaster. As I pointed out a year ago... #bigpicture


Adding back into PRP

Earlier, I described a withdrawal from PRP where I sold some of my portfolio during a strong rally in stocks and gold... #prp


US Version of PRP

In this post, I will present a U.S. version of the PRP. It's essentially the same as the #prp asset allocation I use myself, except for... #prp


Indexing is Not Passive

Index investing has become more popular in recent years. For example, someone can hold an index fund that tracks the S&P 500 index ... #bigpicture


Withdrew from PRP

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


What Happens Next?

Market analysts and commentators love to make appearances in the media and share their predictions about what will happen next. Often, ... #bigpicture


Mid Year Report Card

I use a number of different investment strategies, each covered in a different section of this web site. The "top level" asset allocation... #bigpicture


Beware the high premium on MNT

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


Growth Portfolio Annual Update

My Growth portfolio outperformed the TSX in this time period. Several holdings no longer meet my screening criteria and have been replaced... #growth


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


Zoom Out to 1 Year

Lately, daily volatility in markets has been extreme. To see things more clearly, I think it helps to "zoom out" and look at the longer term... #bigpicture


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


Mild TSX Correction So Far

Would it surprise you to hear that this has been a mild stock correction so far? For Canada's benchmark index, this current selloff... #bigpicture


COVID-19 and Stocks

Posting an article like this one is risky, because at some point in the future, the outcome of COVID-19 will be known... #bigpicture

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