Portfolio of Strategies
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Portfolio of Strategies
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Last edited by Toothfish on Fri Dec 15, 2006 3:15 am, edited 2 times in total.
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Since no one is replying to my thread I thought I might
Hi,
I think sometimes we get too bogged down on designing a system and forget about the bigger picture. ie portfolio management and money management.
Below is a link to discussions from acary. He discusses some ideas of having multiple diversified systems to manage risk.
Although it is incomplete there are a few pearls.
http://www.elitetrader.com/vb/showthrea ... enumber=44
I think sometimes we get too bogged down on designing a system and forget about the bigger picture. ie portfolio management and money management.
Below is a link to discussions from acary. He discusses some ideas of having multiple diversified systems to manage risk.
Although it is incomplete there are a few pearls.
http://www.elitetrader.com/vb/showthrea ... enumber=44
Good Portfolio Theory Talk
Kevin Balwin of theIFM.org gave a good hour talk for IB on Portfolio Management.
IB Recorded Webinar( Dec 4, 2006 ) - Listen to recording for explaination
Deeper info can be found by googling 'log normal returns'
Attached file is his corrected notes
IB Recorded Webinar( Dec 4, 2006 ) - Listen to recording for explaination
Deeper info can be found by googling 'log normal returns'
Attached file is his corrected notes
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I trade a large portfolio of products but I am still not convinced I have a good grasp of how many markets I really need in my basket to have the best diversification. Currently I am spread across commodities, forex and stock indices. I have effective systems to trade these markets on different time frames but have not yet applied anything to bonds.
I think that somewhere around 6-10 markets can provide sufficient diversification but it is probably better to include the 20 majors. I know hedge funds who trade well over 100 but think this is more due to liquidity requirements than diversification.
I think that somewhere around 6-10 markets can provide sufficient diversification but it is probably better to include the 20 majors. I know hedge funds who trade well over 100 but think this is more due to liquidity requirements than diversification.
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