Risk Parity Radio

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)

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In this episode we address emails from Rory (x2), Frank, Andy and Mark.  We discuss UPRO issues, where to put gold, role models for retirement, Andy's experiments with UPAR and Mark's wonderful new tool and options strategies for reducing stock market risk.

Links:

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

Andy's UPAR Bogleheads Forum Link:  The Tobin Two-Fund Portfolio - Bogleheads.org

Mark's Most Excellent Portfolio Shortcutter Tool:  https://docs.google.com/spreadsheets/d/1lG18XrJA8-oODSNC0nV2T5nyVPAByU7p901oYn_ECDw/edit#gid=1553040997

A famous stand-up philosopher:  A Standup Philosopher - YouTube

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In this episode we answer emails from Jeff (x2), Popeye, and the anonymous Mycontactinfo (x2).  We discuss some feeble attempts at disparagement by former financial media people and put them in context, an essay on taking your money off the table and weathering financial downturns by Bill Bernstein and an free course from MIT.

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:

The Bernstein Essay:  A Day to Remember - HumbleDollar

The MIT Course with Andrew Lo:  Course | Adaptive Markets: Financial Market Dynamics and Human Behavior | edX

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In this episode we give Mary a break and analyze the ProShares Ultrashort Australian Dollar ETF, ticker symbol CROC, using David Stein's Ten Questions to Master Investing, which are:

1.  What is it?
2.  Is it an investment, a speculation, or a gamble?
3.  What is the upside?
4.  What is the downside?
5.  Who is on the other side of the trade?
6.  What is the investment vehicle?
7.  What does it take to be successful?
8.  Who is getting a cut?
9.  How does it impact your portfolio?
10.  Should you invest?

This fund analysis was suggested/requested by listener Alexi/Dude.

Links: 

CROC Fact Sheet:  prosharesfactsheetcroc.pdf

CROC Information Page:  CROC (proshares.com)

CROC Correlation Analysis:  Asset Correlations with CROC (portfoliovisualizer.com)

CROC/BTAL in Golden Butterfly Portfolio:  Backtest Portfolio Asset Allocation (portfoliovisualizer.com)

CROC/BTAL in Golden Ratio Portfolio:  https://tinyurl.com/2tcemax6

CROC/BTAL in Leveraged Risk Parity Portfolio:  https://tinyurl.com/3w7rpk6d

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In this episode we pay tribute to Clark Bender and then answer emails from Chris, Roy, Dustin, Daniel and Kevin.  We discuss M1 trading issues, PDBC's 2021 returns, reinvesting dividends, sample portfolio returns, what to do about old stocks lying around, Dustin's sample  risk parity portfolio, I-bonds, considerations for international funds, Tom Waits, and an improvised reading list. 

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:

Board Game Times podcast:  Welcome to Board Game Times! - Board Game Times

RPR Tutorial #4:  Tutorial #4: Portfolio Visualizer Monte Carlo Simulator -- Introduction - YouTube

PDBC Performance Statistics:  Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) Performance History - Yahoo Finance

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In this episode we address emails from "Harry", Anderson, Brian and Alan.  We discuss transitioning a mostly crypto portfolio to retirement, stablecoins, rebalancing bands, 3-5% flexible withdrawal strategies, MORE stablecoin questions and the basics of transitioning from an accumulation portfolio to a retirement portfolio.

Links:

Optimal Rebalancing Article:  Optimal Rebalancing – Time Horizons Vs Tolerance Bands (kitces.com)

Never Pay Taxes Again Article:  Never Pay Taxes Again - Go Curry Cracker!

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In this episode we address emails from Patreon Patron Dominic, Javier, Sebastien, David and Ed.  We discuss allocating a Golden Butterfly - style portfolio, an application of the Macro-Allocation principle to an accumulation portfolio, a potential gambling problem involving leveraged funds, the psychology of avoiding foolish consistencies and the financial media, and applications of the Monte Carlo simulator and Portfolio Visualizer and the calculators at Portfolio Charts to small cap value based portfolios.

Links:

Portfolio Visualizer Monte Carlo #1 (small cap value):  Monte Carlo Simulation #1 (portfoliovisualizer.com)

Portfolio Visualizer Monte Carlo #2 (diversified portfolio):  https://tinyurl.com/2cjfu5vr

Portfolio Visualizer Monte Carlo #3 (de-leveraged small cap value):  https://tinyurl.com/2p89vxpn

Portfolio Charts:  MY PORTFOLIO – Portfolio Charts

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In this episode we answer emails from Dan, Chas and Sam.  We discuss some aspects of a new Risk Parity book, the poor performance and problems with TIPs, sub-portfolio constructions, using a correlation analysis to determine which non-U.S. funds to use,  which bond funds to use, why you shouldn't pay attention to proposed legislation, more on international funds and how to find the podcast where your email is answered.

And THEN we our go through our weekly portfolio reviews of the seven sample portfolios you can find at Portfolios | Risk Parity Radio.  We also review the lackluster annual performances of RPAR and other professional risk-parity style funds.  Note that RPAR is run by the author of the book discussed in answer to the first question.

Additional links: 

Father McKenna Center Donation Page:  Donate - Father McKenna Center

Commodity Producers ETFs list:  Commodity Producers Equities ETFs (etfdb.com)

Original RPAR Episode:  Podcast #31| Risk Parity Radio

Correlation Analysis of Chas's Proposed Funds:  Asset Correlations (portfoliovisualizer.com)

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In this episode we invite listener Alexi into the den to discuss a variety of topic on his mind.  These include gold, municipal bond fund TFI, assorted risk-parity portfolio constructions, the Big Lebowski, gambling problems and leveraged funds, choices in small cap value funds, problems with the M1 platform and liquidity issues, the relationship between the traditional 60/40 portfolio and the Golden Ratio, asset classes that perform well in various growth/inflation quadrants, and the drawbacks to TIPS and other inert allocations.

Links:

Episode 40 re Gold:  Podcast #40| Risk Parity Radio

Safe Withdrawal Rate  #34 re Gold:  Using Gold as a Hedge against Sequence Risk – SWR Series Part 34 – Early Retirement Now

Three Ingredients Article re Gold:  Three Secret Ingredients of the Most Efficient Portfolios – Portfolio Charts

Resolve Asset Management White Paper Download Link:  Return Stacking: Strategies For Overcoming a Low Return Environment (investresolve.com)

"Buffett's Alpha" White Paper:  Buffett’s Alpha (tandfonline.com)

Alexi's article link (last question) re Quadrants and Assets:   Structural Diversification for All Seasons - ReSolve Asset Management (investresolve.com)

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In this episode we answer emails from Christer, Craig and Scott.  We discuss synthetically modelling SWAN on Portfolio Visualizer, how using the MAR metric (and others) reveals superior performance for risk-parity-style portfolios, how NOT to predict future treasury bond rates in the context of the Golden Butterfly portfolio, and the foolish consistencies and nonsensical ravings of those who attempt such things.

And THEN we our go through our weekly and monthly (and a bit of annual) portfolio reviews of the seven sample portfolios you can find at Portfolios | Risk Parity Radio.

Additional Links:

Comparison of Synthetic SWAN Models:  SWAN Backtest Portfolio Asset Allocation (portfoliovisualizer.com)

Craig's Article About The MAR Metric:  How to Set achievable CAGR & Drawdown targets for stock portfolio (enlightenedstocktrading.com)

Comparison of VWENX and Sample Golden Ratio Portfolios:  Backtest VWENX Vs. Golden Ratio Asset Allocations (portfoliovisualizer.com)

Additional Sample Leverage Portfolio On M1:  Levered Risk Parity Pie | M1 Finance

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