Testing Resilient Portfolios for US and Eurozone investors

Details

Supervisors

Petitjean, Mikael

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion, à finalité spécialisée

Abstract

enThis thesis investigates whether resilient portfolios generate better downside protection and diversification capabilities than the traditional 60/40 portfolio across different macroeconomic environments. Four resilient portfolios are examined: All Seasons, Permanent, Golden Butterfly, and Golden Ratio. These allocations are compared with a 60/40 benchmark from July 2002 to December 2025 using daily data. The analysis combines return performance, but downside risk and recovery dynamics. Several indicators are considered, such as volatility, maximum drawdowns, rolling drawdowns, recovery duration, correlations, and risk-adjusted performance measures. The study also compares results from both a US investor perspective and a Eurozone investor perspective in order to assess the impact of currency exposure on portfolio resilience. The results indicates that resilient portfolios typically exhibit lower and more stable drawdowns than the 60/40 portfolio, especially under circumstances of market stress. Among all the portfolios studied, the Permanent portfolio emerges as the allocation providing the best downside protection, whereas the Golden Ratio portfolio achieves the highest long-term return at the cost of higher risk exposure. In addition, the findings imply that, in order to achieve proper diversification, one should not consider solely the average correlation, but also the stability of portfolio behavior during adverse market conditions. Overall, the research presented in this thesis demonstrates the potential of resilient portfolios to act as viable long-term investment alternatives.