The Dragon Portfolio - Risk Parody on Steroids

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i'm open to suggestion as far as finding e t f that employ merger arbitrage strategies, but i haven't run across one that i would feel confident enough to actually aplocate any money to. Chris cole is a fund manager with a firm called artemis capital, and he has come up with something called the dragon portfolio which you might describe as risk parody on steroids. The main problem i saw with at least the funds that available is that they just have low returns, so would be a drag in terms of the return profile. And then they are not sufficiently negatively correlated with your stocks to really give you a big diversification benefit.

In this episode we answer questions from Alexi, Vaughn, Yamini, Jamie (x2) and Adam. We discuss merger arbitrage as an asset class, the Macro-Allocation Principle applied to an accumulation portfolio, the benefits of investing in insurance companies, tail risk parity and the my favorite science paper and considerations about the lack of really old data.

And THEN we our go through our weekly portfolio reviews of the seven sample portfolios you can find at Portfolios | Risk Parity Radio.

Additional links:

Alexi's podcast reference: Why Merger Arb Works (aqr.com)

Alexi's correlation analysis of merger arbitrage funds: Asset Correlations (portfoliovisualizer.com)

Artemis Capital Research Page: Research & Market Views — Artemis (artemiscm.com)

Artemis Hawk and Serpent Paper: DocSend

Correlation Analysis of Insurance ETFs: Asset Correlations of KBWP (portfoliovisualizer.com)

Tail Risk Parity Paper: Tail Risk Parity (alliancebernstein.com)

More Is Different Science Paper: anderson72more_is_different.pdf (tamu.edu)

Kitces Article re 4% Rule: Can Morningstar's Withdrawal Rate Report Refute The 4% Rule? (kitces.com)