THE ALLEGORY OF THE HAWK AND SERPENT

[gull1]

So here is the construction of the 'dragon portfolio' Atermis offers. I am color blind but it looks like ~20% each:
- equity-linked
-gold
-long vol
-fixed income
-commodity trend

So gold seems straight forward. Fixed income would be a diversified bond or dividend paying stock portfolio? What is commodity trend? Long vol is maybe options on the VIX? I assume equity-linked is equities and options on equities?

[ochotona]

So here is the construction of the 'dragon portfolio' Atermis offers. I am color blind but it looks like ~20% each:
- equity-linked
-gold
-long vol
-fixed income
-commodity trend

So gold seems straight forward. Fixed income would be a diversified bond or dividend paying stock portfolio? What is commodity trend? Long vol is maybe options on the VIX? I assume equity-linked is equities and options on equities?

The decay on any retail volatility ETN will eat you alive. Even if it's going your way. Tooting my own horn, basically equity trendfollowing expresses an opinion about volatility. When volatility spikes, equity trendfollowing goes to cash or bonds. So that's another way to use volatility, as opposed to not using it with passive investing - when volatility spikes you sit there and take a kick to the crotch.

Commodity trend is probably commodity trendfollowing. I have no idea on what timescale the author implies. FWIW, we are at historic decades and decades commodity lows with respect to other asset classes, so maybe for the times we live in it's better to just say "commodities buy and hold someday" instead of "trend".

Long gold, bonds, cash 15% each
Long commodities (someday), 1%-5%
Equity trendfollowing 50%-54%

That would be a less volatile portfolio than the HBPP. You can prove it at portfoliovisualizer.com core=satellite market timing tool

[pmward]

So here is the construction of the 'dragon portfolio' Atermis offers. I am color blind but it looks like ~20% each:
- equity-linked
-gold
-long vol
-fixed income
-commodity trend

So gold seems straight forward. Fixed income would be a diversified bond or dividend paying stock portfolio? What is commodity trend? Long vol is maybe options on the VIX? I assume equity-linked is equities and options on equities?

"Commodity trend" returns were generated from an index of CTA hedge funds (with backward reconstruction of the index in years when these strategies were not around, not unlike how Tyler reproduced returns on portfolio charts from factors that did not exist as funds back to 1970). Long vol return is based off of an index of Long Vol hedge funds (with the same backwards reconstruction).

You cannot implement this portfolio without being an accredited investor with access to hedge funds. Long vol has an extremely large cost of carry. You do not have time to implement long vol actively in a way that you will not blow up (and the VIX ETF's and futures contracts are the quickest way to blow up...). Commodity trend literally trend follows every single futures contract in existence across the globe. You do not have time to monitor all of these and implement this strategy yourself.

If you are an accredited investor, Artemis is a good long vol company worth looking at, and I'm a fan of Dunn for CTA's. If you're not an accredited investor, the PP is probably the closest you can come to this portfolio.

[ochotona]

If you are an accredited investor, Artemis is a good long vol company worth looking at, and I'm a fan of Dunn for CTA's. If you're not an accredited investor, the PP is probably the closest you can come to this portfolio.

I've done the high-level task of requesting monthly returns from Dunn, importing them into PortfolioViz when you could do it for free, and doing the CAGR, Drawdown, Sharpe and Sortino ratios. And Dunn Capital's Macro fund was still worse than equity trendfollowing plus HBPP which you can do yourself

I used to be in Windhaven at Schwab. HBPP beats it handily. Nice prospectus, though.

It's just really hard to beat the basic DNA of the HBPP.

[pmward]

If you are an accredited investor, Artemis is a good long vol company worth looking at, and I'm a fan of Dunn for CTA's. If you're not an accredited investor, the PP is probably the closest you can come to this portfolio.

I've done the high-level task of requesting monthly returns from Dunn, importing them into PortfolioViz when you could do it for free, and doing the CAGR, Drawdown, Sharpe and Sortino ratios. And Dunn Capital's Macro fund was still worse than equity trendfollowing plus HBPP which you can do yourself

I used to be in Windhaven at Schwab. HBPP beats it handily. Nice prospectus, though.

It's just really hard to beat the basic DNA of the HBPP.

Yeah, but for the reasons he was including CTA in the dragon portfolio, Dunn is a better fit than just equity only trend. Dunn is much better diversified, and in a stagflationary environment would out perform stock only trend.

And yes, I agree about the PP. It's a very resilient portfolio that is so much simpler to implement than something like the dragon portfolio. There's a reason why my "core" holdings (aka "the money I can't afford to lose") is chilling in a PP.

[Hal]

George Gammon on the Dragon Portfolio. The PP gets a brief mention as well.

https://www.youtube.com/watch?v=m13JFwcBXaE

The PP is discussed at the 1hr 2min mark in the interview below

https://www.youtube.com/watch?v=U44_auRtR78

<edit>
Hugh Hendry thinks the PP was the best allocation for the past 40 years, but not now as the focus should be on capital preservation.
Comments welcome. Is he saying just go to USD & Gold?

and after watching this, I feel like going to Nimbin
http://hempembassy.net

[mathjak107]

i don't follow a lot of his market numbers and how he comes up with the numbers he does

[Hal]

One more talk on the Dragon Portfolio - bit more practical.

https://www.youtube.com/watch?v=djxfcA5NuPk

[mathjak107]

I still can’t listen to him no matter how hard I try

[ppnewbie]

There is a small fund called Mutiny fund. They have a podcast called Mutiny Investing Podcast. The first four podcast talk about how to invest in volatility. Nice guys. I reached out to them as well as Artemis a while back.

[ppnewbie]

One more talk on the Dragon Portfolio - bit more practical.

https://www.youtube.com/watch?v=djxfcA5NuPk

Thanks Hal. Watched the videos. I’ve learned a lot from watching George’s videos.

[ppnewbie]

August 2020 Returns from Artemis Capital Management:

Artemis Vega Fund, LP: +0.38%1
Artemis Hedgehog Composite: -1.90%2
The YTD net performance is:
Artemis Vega Fund, LP: +23.10%1
Artemis Hedgehog Composite: +5.81%2

[ppnewbie]

Here is an update from a tail risk fund called Mutiny Fund.

https://docsend.com/view/fw72c6nzpr4u54y2

I really liked talking to one of their principles but in the end I decided there were just too many moving parts for me.

[ppnewbie]

If you are an accredited investor, Artemis is a good long vol company worth looking at, and I'm a fan of Dunn for CTA's. If you're not an accredited investor, the PP is probably the closest you can come to this portfolio.

I've done the high-level task of requesting monthly returns from Dunn, importing them into PortfolioViz when you could do it for free, and doing the CAGR, Drawdown, Sharpe and Sortino ratios. And Dunn Capital's Macro fund was still worse than equity trendfollowing plus HBPP which you can do yourself

I used to be in Windhaven at Schwab. HBPP beats it handily. Nice prospectus, though.

It's just really hard to beat the basic DNA of the HBPP.

Yeah, but for the reasons he was including CTA in the dragon portfolio, Dunn is a better fit than just equity only trend. Dunn is much better diversified, and in a stagflationary environment would out perform stock only trend.

And yes, I agree about the PP. It's a very resilient portfolio that is so much simpler to implement than something like the dragon portfolio. There's a reason why my "core" holdings (aka "the money I can't afford to lose") is chilling in a PP.

One red flag, for me at least - I was listening to interview with Chris Cole (Maybe MacroVoices) but they said something to the effect that they were not going to ask him about the commodity trend part of the portfolio because that was not his area of expertise - IE He could not answer the questions.

[ochotona]

August 2020 Returns from Artemis Capital Management:

Artemis Vega Fund, LP: +0.38%1
Artemis Hedgehog Composite: -1.90%2
The YTD net performance is:
Artemis Vega Fund, LP: +23.10%1
Artemis Hedgehog Composite: +5.81%2

FYI, I only slightly trailed the Artemis Vega Fund for 2020, and my drawdown measured from end of Jan to end of Mar was -3.5%. I only compile portfolio values monthly.

[ppnewbie]

I am up a good bit as well in the range of 25 percent - but I think my drawdown was heavier. I’ll add the numbers in a bit. I think my drawdown was a little heavier because my allocation more closely resembled a GB.

I am now approx 30 gold 30 stocks 20 LTT (which frighten me) and 20 cash (which worries me).