Page 1 of 1
Portfolio of Strategies
Posted: Sun Dec 10, 2006 4:29 am
by Toothfish
Deleted
Since no one is replying to my thread I thought I might
Posted: Tue Dec 12, 2006 2:12 am
by Toothfish
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
Good Portfolio Theory Talk
Posted: Sat Dec 16, 2006 6:08 am
by Ztrader
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
Posted: Thu Jan 11, 2007 2:47 pm
by twalker
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.