Permanent Portfolio Derivation and Historical Performance
This graphic is designed to help readers understand the logic and assumptions embedded in the Permanent Portfolio model by Harry Browne. It is also a useful framework for understanding how to construct regime-based portfolios. The results are re-published from an earlier article written by Corey Rittenhouse at Catallactic Analysis. It was a very good post (and good blog) and is worth reading for more background. Some other very good posts on the subject are:
GestaltU: An interesting three-part series on the Permanent Portfolio and tactical applications:
Systematic Investor: An interesting article on the Permanent Portfolio showing risk parity applications and implementation in R:
Stats by 5 Year Period
Trackbacks
- Friday links: investable ideas - Abnormal Returns | Abnormal Returns
- Top clicks this week on Abnormal Returns - Abnormal Returns | Abnormal Returns
- The “All-Weather” Portfolio Derivation « CSSA
- ETF Prophet | “All-Weather” Portfolio Derivation
- All Weather Portfolio | The Risk-Reward Report
- Diversificazione del portafoglio e asset allocation | Analisi Fondamentale
- Cluster Risk Parity– A Visual Representation « CSSA
- ETF Prophet | Static or Dynamic Risk Allocation?
- On the dangers of micromanging your asset allocation | Abnormal Returns
Reblogged this on Финсовет – Инвестиции без жадности и страха and commented:
А вот классический “перманентный портфель”, основанный в 80-е как первая стратегия “рисковового паритета”. Сейчас у этой стратегии очень много поклонников, в том числе знаменитый Рей Далио.
Really great job. What about adding a bit of seasonality? 🙂
My blogs:
http://backtestingvix.wordpress.com/
http://nightlypatterns.wordpress.com/
May I ask how you rebalanced the portfolio? annually, quarterly? Many thanks, Nick
Hey Nick, the portfolio was rebalanced on an annual basis if any of the holdings fell below 15% or went above 35% allocation.