There is no secret trading or investment strategy, that will beat all others. There are many ideas that work and they all work within very similar parameters – for example (average data from my backtests, books, articles, academic papers etc.): Trend following strategies Whether you use moving averages, breakouts, RSI, Bollinger Bands etc., they…
Category: portfolio building
A Barbell Portfolio Strategy
with a realtime review of portfolio performance during the recent market pullback. I want to take a look at some of my core portfolio strategies from a fresh angle. The basic principles discussed are easily transferable to other types of portfolios. A key portfolio feature, I strive for, is an adaptive combination of strategies with…
Active versus Passive Investing or: do you have to beat the market for superior returns?
I think the active – passive discussion is moot. It is largely ideological with few useful results for the investor. There are two ways to think about the problem, that illustrate that. Argument number one: all investing involves active decisions. Passive investing is simply buying and holding an index ETF, you say? But which…
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…
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 over the long-term: this is defined by excess returns and volatility expressed most commonly by the Sharpe ratio The correlation between different strategies and assets, taking a special…
5 Combining strategies into a diversified portfolio
Choosing portfolio elements with low correlation and diverse return distributions. 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. Leverage, return…
