Thank you for bringing it up. If had asked a very similar question so looking forward to a reply here with as much detail as possible. Interesting breakdown of your portfolio by the way.

Slight typo in my post I meant 21% long volatility as per the breakdown list

Joseph I think Chris's portfolio makes a lot of sense. But unfortunately I'm not an RIA so it is really beyond my remit to make concrete recommendations. One thought for the long vol bit would be to look for a listed macro fund. There are some.

I'm not knocking this approach, but want to mention that the fine print must be read. The returns on this portfolio only beat some of the other options when adjusted for volatility. In real dollars it does not beat some of the other listed options, much less the S&P alone.

Hi David, isn’t the whole point of long vol in the portfolio to cater for and protect those highly volatile potentially damaging events including black swan scenarios? It’s an insurance policy that more than pays for itself in the very long term. Personally I can see the value of paying that premium year in year out and be grateful the infrequent times it pays big dividends. If you remove it and try to be cute about only making long vol bets when you think vol might spike it’s never going to work. As far as I know no one really knows how to trade volatility the way you trade stocks. Big vol spikes aren’t predictable. You only know you’ve got them when they happen which too late to position in real time. About the only thing you can say is statistically tail risks and greater than 1 standard deviation moves occur about 20% of the time with increasing evidence to suggest tails are getting fatter and implying that black swan and high vol events are increasing for reasons not fully explained as far as I know. With this in mind I see even more good reason to have long vol as an ongoing piece of the pie.

Hi Julian thanks, I was just thinking of discussing it more in terms of the effects of MMT and YCC on such a portfolio and whether it might need adjusting in light of that. I’m personally very convinced at the moment of the merits of long vol as an ongoing premium knowing it only pays out infrequently but then if structured right it’s a lifesaver protecting long term absolute returns. It needs very long time horizons thinking which most traders don’t have but the more I ponder time horizons for trading the more convinced I am becoming that the longer the better.

Hey Joseph, Yes, I get your point, and really I'm not making any judgment on what is best. I really do think it depends on the individual. But if I recall correctly a 60/40 actually does better than this Dragon Portfolio over the long run, or at least very close, if you look at real dollars instead of volatility adjusted. So if you have enough money to be able to survive bigger hits, then in at least many cases it seems it would be better to maximize returns vs. minimizing volatility. If you can't survive a big dip, then maybe this Dragon Portfolio makes more sense...or something like 50/50 instead of 60/40. I'm not sure long vol is any better than that, but it probably depends on the individual and his/her situation.

I like the NOK,, especially as long as the Government Pension Fund keeps repatriating money from overseas investments.

Be aware that this repatriation of money from overseas investment is only a part of the equation. If the price of oil goes up, the governments income increases through increased taxes(tax rate 78%) and direct income. This USD income is used to buy NOK as the government needs, and the repatriation reduces. Net zero change in NOK purchases.

From Norways largest bank, DnB Changing NOK flow dynamics Dynamics of NOK flows have changed with the pandemic. As oil companies refrain from NOK purchases for tax purposes due to temporary changes in the tax regime, commercial demand looks set to be NOKnegative over the next few years. This is currently more than balanced out by the increased need for NOK to fund the rising fiscal deficit, but we expect these NOK purchases to be scaled down. As any speculative demand will sum to zero over time, this leaves the NOK with far less tailwind ahead. Steady NOK purchases by petroleum sector for tax purposes have come to a halt for now To stimulate activity in the petroleum and related sectors, the government introduced temporary changes to the petroleum tax framework in April. By allowing the petroleum industry to deduct investments immediately from the special tax base, taxes from the petroleum sector will be delayed, affecting public finances in 2020 and 2021 in particular. In fact, in the Revised National Budget from May, the Ministry of Finance assumes negative petroleum taxes for H2 2020. We estimate this tax refund in H2 to NOK30bn. Thus, we are looking at a period were what used to be a steady flow of NOK purchases by oil companies to pay taxes is now absent, before gradually returning through next year. A negative basic balance means commercials will tend to be NOK-negative A surplus on the current account, or at least a current account that is more positive than its equilibrium value, tends to support the currency in the respective country. However, given most income from the petroleum sector has been saved overseas through the Government Pension Fund Global (GPFG), Norway’s current account needs to be adjusted to assess any appreciation or depreciation pressure from foreign trade and investments. The current account surplus has dropped in tandem with the oil price since 2014, and when adjusting for revenues kept in GPFG and currency income that petroleum companies leave in foreign currencies, the adjusted current account (basic balance) has been negative since 2016. Thus, if we rely on the data, we are currently left with a situation where the private sector is a net seller of NOK, with the public sector more than balancing this out through Norges Bank’s daily transactions. We expect these daily NOK purchases to be lowered over the coming months, as the final use of fiscal firepower will be less than assumed in the Revised National Budget in May. Next year, these purchases should be lowered even further, partly because we expect the fiscal stimulus to be lowered and partly because we expect to see oil companies resume some tax payments. Over the next few years, we expect the 3% target for fiscal policy to be reached, reducing NOK purchases further. We therefore see the NOK losing tailwind ahead.

It's where you claim bragging rights for calling a big short correctly.

Ultimately picking a turn in equities as we did in Q3 2018 or this spring is something to brag about, especially for a macro person. But frequently there are better trades