THE ALLEGORY OF THE HAWK AND SERPENT

General Discussion on the Permanent Portfolio Strategy

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THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Tue Feb 11, 2020 1:05 pm

Folks may want to check out this research from Artemis Capital. After a lot of research, I think this researcher came up with the PP or the Golden Butterfly. I listened to the recording yesterday and will read through the paper in the next day or two. He has an interesting perspective and it would be great if the smart people of the forum took a look at his work and commented. Specifically, he talks about being long volatility which I do not fully understand (he seems to be talking stocks).

Anyway - as an amateur, I will read the paper as well.

https://www.artemiscm.com/research - Main website
https://docsend.com/view/taygkbn - The paper
https://www.artemiscm.com/artemis-audio-recording - Recording

--- Research Intro ---
THE ALLEGORY OF THE HAWK AND SERPENT
HOW TO BUILD A PORTFOLIO THAT LASTS 100 YEARS
I want you to imagine that you have the opportunity to grant your family great wealth and prosperity for 100 years subject to one important choice. You must decide what assets to invest in and maintain that allocation for an entire century without ever changing it. The future of your children’s children depends on your choice. What do you do?

The Allegory of the Hawk and the Serpent is a philosophic map to understanding the generational cycle of wealth creation, destruction, and rebirth to guide your investment decisions and protect your prosperity.
----------------------
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by mathjak107 » Wed Feb 12, 2020 3:03 am

i had to give up listening after 19 minutes .... it was just to long and dry for my taste and i lost interest , but thanks anyway
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by Kbg » Wed Feb 12, 2020 9:46 am

I looked through the presentation...definitely non-standard (which is fine)

Quibbles...not sure how they derived historical performance as far back as they did for both long volatility and futures pie wedges. Maybe it was in the notes somewhere but I am unaware of data sets going back that far for both. 18% seems huge to me for the long vol wedge. That is going to be a significant "insurance cost" annually. Also, trend following futures has decidedly not worked for over a decade, granted it has not been a great time for such a strategy. There is a bit of debate that this former market edge has been arbitraged away.

Anyway, it might be a great strategy but if anyone were going to do this I would spend a TON of time going through and understanding the details.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by Vil » Thu Feb 13, 2020 8:55 am

Hi guys

Thanks for sharing. I read through it, indeed sounds interesting. How does the commodity trending actually work as diversifier ? As far as I can recall in some articles it was stated that correlation with bonds tends to be rather negative, while with stocks it's a sort of 'never know' although in the last years its quite negative.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by pmward » Tue Feb 25, 2020 2:12 pm

Yeah I found this intriguing as well. The long vol portion would indeed be difficult to implement without being an accredited investor with access to hedge funds. The carry cost is so incredibly high if you do this part wrong. I also wish I could have access to the data he used to dig deeper into it. He is a hedge fund guy with a long vol fund after all, so without open source data I have my suspicions. Commodity trend though has long been known to be a great diversifier (though like kgb mentioned it is terribly out of favor at the moment), and there are ways retail investors can access funds for this part.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Tue Feb 25, 2020 5:14 pm

I reached out to Artemis Capital - Cost is 2/20 minimum 250k.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Thu Feb 27, 2020 3:45 pm

I need to learn more about long volatility and commodity trend following.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by gull1 » Fri Feb 28, 2020 10:43 am

Podcast interview recently with Chris Cole of Artemis, fast forward to about 11min

https://www.macrovoices.com/785-macrovo ... ging-times
Last edited by gull1 on Fri Feb 28, 2020 1:13 pm, edited 1 time in total.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by pmward » Fri Feb 28, 2020 11:02 am

Long vol would have been great this week!
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Sat Feb 29, 2020 11:58 pm

Listened to the podcast. Thanks for sharing that. This week would have been the hawk killing the snake before it finished eating itself!
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Tue Mar 03, 2020 10:43 pm

I found another long volatility fund that charges 1% management fee and 10% incentive fee. With a minimum investment of 100k. It’s called mutiny fund (mutinyfund.com). These guys also have a podcast where they go over their entire strategy in a four part series called ”Why Mutiny”.

It also turns out they are fans of the HBPP. They initially got started when they were trying to juice the the HBPP cash bucket.

They also discuss how the prevent from bleeding money during the long periods of low volatility.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by gull1 » Mon Apr 27, 2020 2:51 pm

Artemis has a early-bird program where I think its just 1% before end of month. What about vol ETFs like https://money.usnews.com/funds/etfs/rankings/volatility ?
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by gull1 » Wed Apr 29, 2020 8:16 am

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?
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ochotona » Wed Apr 29, 2020 9:10 am

gull1 wrote:
Wed Apr 29, 2020 8:16 am
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
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by pmward » Wed Apr 29, 2020 11:06 am

gull1 wrote:
Wed Apr 29, 2020 8:16 am
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.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ochotona » Wed Apr 29, 2020 1:37 pm

pmward wrote:
Wed Apr 29, 2020 11:06 am
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.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by pmward » Wed Apr 29, 2020 2:36 pm

ochotona wrote:
Wed Apr 29, 2020 1:37 pm
pmward wrote:
Wed Apr 29, 2020 11:06 am
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.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by Hal » Sun May 10, 2020 6:21 pm

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
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by mathjak107 » Mon May 11, 2020 7:27 am

i don't follow a lot of his market numbers and how he comes up with the numbers he does
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by Hal » Tue May 12, 2020 6:55 am

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

https://www.youtube.com/watch?v=djxfcA5NuPk
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by mathjak107 » Tue May 12, 2020 4:47 pm

I still can’t listen to him no matter how hard I try
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Wed May 13, 2020 2:58 am

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.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Wed May 13, 2020 10:11 am

Hal wrote:
Tue May 12, 2020 6:55 am
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.
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Mon Sep 14, 2020 4:45 pm

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
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Re: THE ALLEGORY OF THE HAWK AND SERPENT

Post by ppnewbie » Fri Jan 01, 2021 10:43 pm

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.
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