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

#bigpicture - Big picture thoughts

Investing With Crash Protection


I have two distinct strategies for investing while also having some protection from crashes and extreme volatility. One is Bullsignals, my algorithm-based trend following strategy. The other is PRP, my diversified portfolio based on risk parity and the Permanent Portfolio.

The market crash in 2020 was the first time I have been able to see both of these strategies in a real-life crash.

Both strategies appear to have accomplished their goal: they softened the market crash while still providing good returns. For the 19 month period from before the crash to now, both produced very strong positive returns.

Metric BullSignals PRP
Maximum drawdown -16.4% -13.5%
CAGR since Jan 1, 2020 +13.6% +11.6%
Number of days below $100 185 25

Overall, I think PRP handled this crash better.

Even though BullSignals produced the higher return (as of today), I think PRP looks like the better strategy.

Jem Berkes