What is the Dragon Portfolio?

An all-weather portfolio from Chris Cole of Artemis Capital, built to hold up across 100 years of very different markets. A do-it-yourself ETF version holds about 24% US stocks, 18% long-term Treasuries, 19% gold, 18% trend-following (managed futures), and 21% long volatility (a crash-insurance fund such as CAOS), rebalanced yearly.

Who created the Dragon Portfolio?

Chris Cole, founder of Artemis Capital Management, introduced it in his 2020 paper 'The Allegory of the Hawk and Serpent.' Using a roughly 100-year study, he argued this five-part mix was the most robust across booms, busts, and inflations — not the highest-returning in any one era, but the best at surviving all of them.

How do you build the Dragon Portfolio with ETFs?

The stocks, bonds, and gold pieces are easy (VTI, TLT, GLD). The hard two are trend-following and long volatility, which only recently became buyable as low-cost funds — here we use DBMF for managed-futures trend and CAOS, the Alpha Architect tail-risk ETF, for long volatility. The original design uses an actively-managed options strategy that these funds only approximate.

How is the Dragon different from the All Weather portfolio?

Both are all-weather designs, but Ray Dalio's All Weather is built only from stocks, bonds, gold, and commodities. The Dragon adds two things All Weather lacks — long volatility and trend-following — specifically to survive long secular declines when stocks and bonds fall together, not just to balance risk in normal times.

Can Chris Cole's Dragon Portfolio really survive any market?

By Jeffrey Lin · Published 2026-08-29 · Updated 2026-08-29

Most portfolios quietly assume tomorrow will look like the recent past — usually, more good years for stocks. The Dragon Portfolio, designed by Chris Cole of Artemis Capital, refuses that bet. It splits money across five pieces that each tend to shine in a different kind of world — steady growth, a sudden crash, an inflationary decade, or a long grind sideways — so that whatever the economy does, at least one holding is pulling hard. The aim is not the biggest number in a boom; it is staying on your feet across a lifetime of booms and busts.

From May 2017 to Jul 2026, a yearly-rebalanced Dragon portfolio returned 6.7% per year with a maximum drawdown of -9.5% — versus 14.9% and -23.9% for S&P 500 (SPY) alone. It gave up some return for materially lower risk, producing a higher Sharpe ratio (1.05 vs 0.96). $10,000 grew to $18,218 (vs $36,278 in the S&P 500).

What's in it: the allocation

VTI24%
TLT18%
GLD19%
DBMF18%
CAOS21%

Growth of $10,000

Growth of a $10,000 investment, May 2017–Jul 2026. The Dragon line rises more slowly than the S&P 500 but with visibly shallower dips — the trade-off the strategy is designed to make.

What an investor actually experiences: drawdowns

Decline from the prior peak — the "underwater" curve.

The Dragon's whole promise is that you barely feel the bad times, and the numbers back it up: its worst fall was just -9.5%, even as the S&P 500 dropped -23.9% in the 2022 sell-off. A dip under 10% is the kind you might not even notice on a statement — nowhere near the gut-punch that makes people panic and sell at the bottom. For money that has a real job to do, that shallow a decline is exactly what keeps a rough market from derailing the plan.

There is a catch worth knowing, though. Shallow does not always mean quick: the Dragon spent about 25 months — a little over two years — below its previous high, even a touch longer than the S&P's 23 months. That is the flip side of its insurance holdings. In a calm market that keeps climbing, the long-volatility and trend-following pieces slowly bleed, so the portfolio can drift sideways for a while after a dip instead of snapping straight back. You trade the terror of a deep crash for the mild frustration of a slow, quiet recovery.

Results

Statistic	S&P 500 (SPY)	Dragon
CAGR	14.9%	6.7%
Annualized volatility	15.8%	6.4%
Sharpe ratio	0.96	1.05
Sortino ratio	1.56	1.96
Max drawdown	-23.9%	-9.5%
Longest drawdown (months)	23	25
Growth of $10,000	$36,278	$18,218

On raw growth, this stretch was unkind to the Dragon. It grew 6.7% a year [CAGR — the smoothed yearly growth rate], turning $10,000 into $18,218 over roughly nine years, while a plain S&P 500 fund grew 14.9% a year and reached $36,278 — very nearly double. If your only yardstick is the biggest ending balance, the Dragon lost this round, and it lost it clearly.

But look at how that money was earned. The Dragon produced its return with a third of the volatility [how much the value swings around from month to month] — 6.4% versus 15.8% — and less than half the worst drop. Measured per unit of risk, it actually came out ahead: a Sharpe ratio [return earned for each unit of risk] of 1.05 against 0.96, and a Sortino [the same idea, but counting only downside risk] of 1.96 against 1.56. It kept pace on the thing that lets people stay invested, while giving up ground only on the thing that is easy to chase and hard to hold through.

The deeper point is that these nine years were close to the worst possible test for the Dragon — a historic US stock bull market with a single real scare, and a brief, shallow one at that. The portfolio was never built to win a stock boom; it was built to survive the decades this sample did not contain, like a 1970s-style inflation or a lost decade where stocks and bonds fall together. Chris Cole's original work, drawing on roughly 100 years of data (Artemis's own study, not this backtest), is where that long-run case is made. One honest caveat on our figures: cheap funds for the crash-insurance piece only appeared in 2023, so earlier history leans on a costlier stand-in — which, if anything, makes these numbers a little too harsh on the Dragon, not too kind.

Figures are computed from monthly adjusted closing prices over May 2017–Jul 2026. Drawdowns are measured at month-end and so understate intra-month extremes.

Methodology

The two instruments

VTI — Vanguard Total Stock Market ETF: Owns essentially every US stock — the growth engine that carries the portfolio in good times. A common alternative is SPY (the S&P 500).
TLT — iShares 20+ Year Treasury Bond ETF: Long-term US government bonds. They tend to jump when growth or interest rates fall, cushioning a stock crash — but they are very sensitive to rising rates, as 2022 showed. Alternative: VGLT.
GLD — SPDR Gold Shares: Physical gold, which has historically held its value during inflation shocks and currency stress — moments when both stocks and bonds can struggle at once. Alternative: IAU.
DBMF — iMGP DBi Managed Futures Strategy ETF: A trend-following fund [it can bet up OR down on commodities, currencies, and bonds, aiming to ride sustained moves in either direction]. This kind of strategy has historically done well in long crises and inflations. It is a newer fund (2019), so for older history we stand in an established managed-futures mutual fund. Alternatives: KMLM, CTA.
CAOS — Alpha Architect Tail Risk ETF: The long-volatility piece [insurance that is designed to pay off sharply when markets crash]. It holds mostly cash-like Treasury bills plus a small slice of options that spike in value during a steep sell-off. It only became an ETF in 2023, so older history is stood in by TAIL — a simpler put-buying tail hedge that costs more to hold, which makes the pre-2023 figures conservative. Alternative: TAIL.

Backtest parameters

Allocation: 24% VTI / 18% TLT / 19% GLD / 18% DBMF / 21% CAOS
Benchmark: S&P 500 (SPY)
Data: Monthly adjusted closing prices (dividends reinvested)
Period: May 2017 – Jul 2026 (history before an ETF's inception is extended with its older index/mutual-fund equivalent)
Rebalance: Yearly, at month-end
Transaction costs: None modelled

Advantages

Something is always working: The five pieces are deliberately chosen to lead in different worlds, so they rarely fall together. When stocks drop, long bonds, gold, or the crash-insurance piece can rise to catch the portfolio — which is why its declines have historically been shallow and short.
Two ingredients almost no one owns: Trend-following and long volatility produce returns largely disconnected from stocks and bonds, and can gain precisely when an ordinary portfolio is collapsing. Adding them is the Dragon's real innovation — most 'diversified' portfolios still rise and fall on the same two things.
Built for the long, ugly decades, not just crashes: Cole's research focuses on eras like the 1970s, when stocks and bonds struggled together for years. Gold, trend-following, and long volatility are meant to carry those stretches — the kind of slow-motion damage a stocks-and-bonds mix has no answer for.

Disadvantages and risks

It will trail badly in a booming market: With only 24% in stocks and roughly 39% in insurance-like pieces that often bleed a little when markets are calm, the Dragon gives up a lot of upside in a long bull run. Expect to watch a friend's all-stock account race ahead for years — the price of a much smoother ride.
The two special pieces are new and hard to own well: Cheap funds for long volatility and trend-following barely existed until recently — CAOS dates to 2023, DBMF to 2019 — so a long backtest leans on proxies. And the original Artemis design uses an actively-managed options book that a retail ETF can only approximate.
Crash insurance usually costs you money: A tail-risk fund is insurance: in most years it slowly loses a little so it can pay off big in a rare crash. If deep crashes are scarce over your investing horizon, that premium is a steady drag you pay year after year.

Try it yourself

Every number on this page is reproduced by MarketHeist's free portfolio tool — change the weights, tickers, or rebalancing and watch the result update.

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Frequently asked questions

What is the Dragon Portfolio?: An all-weather portfolio from Chris Cole of Artemis Capital, built to hold up across 100 years of very different markets. A do-it-yourself ETF version holds about 24% US stocks, 18% long-term Treasuries, 19% gold, 18% trend-following (managed futures), and 21% long volatility (a crash-insurance fund such as CAOS), rebalanced yearly.
Who created the Dragon Portfolio?: Chris Cole, founder of Artemis Capital Management, introduced it in his 2020 paper 'The Allegory of the Hawk and Serpent.' Using a roughly 100-year study, he argued this five-part mix was the most robust across booms, busts, and inflations — not the highest-returning in any one era, but the best at surviving all of them.
How do you build the Dragon Portfolio with ETFs?: The stocks, bonds, and gold pieces are easy (VTI, TLT, GLD). The hard two are trend-following and long volatility, which only recently became buyable as low-cost funds — here we use DBMF for managed-futures trend and CAOS, the Alpha Architect tail-risk ETF, for long volatility. The original design uses an actively-managed options strategy that these funds only approximate.
How is the Dragon different from the All Weather portfolio?: Both are all-weather designs, but Ray Dalio's All Weather is built only from stocks, bonds, gold, and commodities. The Dragon adds two things All Weather lacks — long volatility and trend-following — specifically to survive long secular declines when stocks and bonds fall together, not just to balance risk in normal times.

References

Educational analysis of historical data, not investment advice. Past performance does not guarantee future results. Backtested results are hypothetical and computed from the MarketHeist portfolio engine on the parameters above.