Adaptive Global Asset Allocation Portfolio in Detail

It´s time to dig a bit deeper into the current asset allocation of my portfolio. You can read more here about my process of structuring the portfolio in general and how I think about adapting it to different market conditions. Let´s start with the most important foundation of my portfolio: a global asset allocation adapted…

What metrics really count when building a diversified portfolio

The three things I look at in detail whenever I think about adding a new strategy or asset to my portfolio are: The expected risk-adjusted return: excess returns and volatility expressed most commonly by the Sharpe ratio The correlation between different strategies and assets The return distribution characteristics of the different elements of the portfolio…

5 Combining strategies into a diversified portfolio

The basic premise for building a diversified portfolio is that uncorrelated or – better yet – negatively correlated assets and strategies will add up to produce higher risk-adjusted returns. These returns can then be leveraged up or down to suit individual risk tolerance. Because I find it very useful, to think independently about which amount…