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I know that for volatility breakout systems that are short term that
more is better because the winners cancel out the losers, and since you
are only in there for a short period, the cancellations should come
quick and minimize drawdowns. Another reason for doing it is that you
humbly accept that you don't know which way the market is going or
which market will have the next winner. I suspect the same logic works
for longer term systems, only since you are in all the time, you need a
much bigger account.
PFein1503 wrote:
>
> Hi everybody,
>
> maybe someone on this list can provide some insight on a diversified portfolio
> of commodities. From investment theory we know that holding a basket of
> uncorrelated stocks/commodities is more efficient than holding a non-
> diversified basket of stocks/commodities. The risk-reward relation is better.
>
> How can you apply that to your personal investment policy?
>
> Where does the effect of diversification start to decrease?
> Can I deworsify my portfolio at some point?
> Is trading 20 or 30 different commodities a well diversified approach?
>
> Or does the historical correlation between commodities provide a better
> estimate of how much and what kind of commodities I should use?
> But when does an uncorrelated/correlated relationship between futures break
> down?
>
> I appreciate all the comments on this subject
> Regards B.
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