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.

CSSA

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:

1990-2012
Annualized Return
Annualized Volatility
Risk Reward Ratio
Permanent Portfolio
6.06%
6%
1.01
Stocks
7.2%
15.05%
0.48
Bonds
6.25%
11.39%
0.55
Gold
6.23%
15.54%
0.4
Cash
1.86%
1.62%
1.15

Stats by 5 Year Period

1990-1994
Annualized Return
Annualized Volatility
Risk Reward Ratio
Permanent Portfolio
2.49%
5.69%
0.44

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