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I have seen markets being correlated for many years and then stopped the
correlation. I believe the selection of markets should have some human
logic and since numbers could give lead the wrong way. Best thing is to
diversify over many markets.
Since it seems that a lot of you also believe in diversification,
portfolio level money management and position seizing, I am wondering
how you handle this with TS effectively?
vk
||-----Ursprüngliche Nachricht-----
||Von: Kevin Sven Berg [mailto:ksberg@xxxxxxxxx]
||Gesendet: Wednesday, January 28, 2004 7:49 AM
||An: omega-list@xxxxxxxxxx
||Betreff: Re: Portfolio Construction
||
||
||Gabriel,
||
||Yes, I have done correlation studies and incorporated correlation
||strategies. You might consider the market correlation rules
||in the Turtle
||system as a practical starting point
||(www.originalturtles.com). These rules
||address exposure risk
||limits within a portfolio, and block new positions
||from being taken under different correlation levels. I can
||vouch that the
||rules outlined by Curtis Faith do indeed boost performance
||quite a bit.
||
||There's always the classic literature for correlation: Modern
||Portfolio
||Theory (MPT) by Markowitz, and Capital Asset Pricing Theory (CAPT) by
||Sharpe. Typically these are not system trader oriented. It
||would be nice to
||see research done on correlating trading system returns among
||multiple
||systems, or systems on multiple instruments. I note that of
||Ralph Vince
||relates MPT to futures portfolio in Chapter 6 of Portfolio Management
||Formulas. Vince always makes interesting reading if you like
||digesting
||formulas (I'm assuming you do if you're asking about correlation :-)
||
||Cheers,
||
||Kevin
||
||At 06:35 PM 1/27/2004 -0800, you wrote:
||>Hi All,
||>
||>Has anyone done any work with, or have a strong opinion about,
||>correlations between commodities and/or correlations between
||>strategies. Has anyone read anything, measured the effect of, or
||>optimized portfolios so as to maximize negative correlation or
||>construct the most efficient portfolio. I am obviously very
||new to this
||>so any advice would be much appreciated.
||>
||>Gabriel
||
||
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