CapitalTime

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

#prp - Permanent Risk Parity (how I invest)

Drawdown Ended

The drawdown (decline from peak) in my PRP portfolio has ended. This was one of the rare drawdowns where I saw a greater drop than a 60/40 portfolio.

When the war began in March, my portfolio saw a -6.9% drawdown. In comparison, XBAL (a 60/40 fund) had a -6.2% drawdown.

In terms of historical drawdowns, this one was reasonably mild. Declines to -6% are extremely common. This one went just slightly further.

Gold crashed pretty hard during this correction. In CAD terms, gold declined -25% and contributed to PRP’s weakness.

Of course, another drawdown could begin any moment! You never know.

— Jem Berkes