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

#prp - Permanent Risk Parity (how I invest)

PRP Performance


The PRP gained 13.3% in 2019, the largest annual return in the 24 year history. This was an unusually strong year, and every asset class posted a strong return.

Long-term performance is 6.5% CAGR over 24 years.

All figures are for the Canadian PRP in CAD currency.

Historical Annual Returns

So far, every year in the 24 year history (backtest) has been positive. This may be a fluke. The PRP routinely declines 5% and back-tests show 15% maximum drawdown. Therefore, a single year decline of 5% to 15% would be normal.

Jem Berkes