There ain´t no Secret

There is no secret trading or investment strategy, that will beat all others.   There are many ideas that work and related ideas all have very similar characteristics, leading to virtually the same risk-adjusted return over time across strategy types. For example (average data from my backtests, books, articles, academic papers etc.): Trend following strategies …

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…

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 to each other 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. This is one of the most powerful concepts in investing. Diversification Basic portfolio construction relies…