Portfolio Allocations?

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January 13, 2023 at 9:53 pm #102263

Nick Radge
Keymaster

Just wondering how everyone is allocating to their various portfolios.

Most of mine are between 8% – 15% across 9 strategies, but I’m starting to think 9 maybe too much, i.e. not efficient regarding workload/return

January 14, 2023 at 2:27 pm #115382

JulianCohen
Participant

Do you mean what is the position size within each strategy, compared to the total account? or what is each strategy compared to the total account?

January 14, 2023 at 4:44 pm #115383

LEONARDZIR
Participant

I am also running 9 strategies in the US only, allocating 5-11% per system . Pretty active but not finding too burdensome. Currently 51% invested in stocks, etf’s and futures. If my trend filter turns up for the SPX (suspect it will this week) will target a 70-75% investment.

January 15, 2023 at 11:17 am #115385

TerryDunne
Participant

FWIW, I’m running 15 systems with a 16th to be added in the next few weeks. My allocations are between 3.5% and 10.5%.
It takes me just under 30 minutes (I’ve timed it) per trading day to update the previous days’ trades and place new orders.

January 15, 2023 at 11:31 am #115388

JulianCohen
Participant

I’m running 5 Trend Following strategies, 2 weekly MR, 4 daily MR and 6 MOC

The Trend following is roughly 50% of the account, split between AUD and US, each is approx the same size.
The MR and MOC strategies are each about 8%

January 15, 2023 at 5:44 pm #115384

LEONARDZIR
Participant

Nick,
This certainly raises many issues about portfolio allocation. Is there a sweet spot for the most profitable allocation based on number of systems, Annualized return, drawdowns, system volatility inter system correlations etc?
I am using a seat of pants determination to trade 9 relatively uncorrelated systems with allocations in 5-10% range. I have no idea if that is the best allocation strategy. Do you use any systematic portfolio allocation methods?

January 17, 2023 at 6:38 pm #115389

Nick Radge
Keymaster

Len,
My post is really a question; what IS the most efficient way to allocate?

About 1/3rd of my capital is in my retirement account (SMSF) so it is very much limited to what it can do, i.e. trend following only.

I like Julian’s approach; half longer term / half shorter term.

When I put all my systems together in equal weightings, I get a CAGR of 24% with a maxDD of 12%, which is extremely comfortable. I could do with a higher CAGR so my feeling is I tilt a little more toward the higher CAGR systems to see if that CAGR can get toward 30% without too much detriment to the maxDD

January 18, 2023 at 1:06 am #115390

LEONARDZIR
Participant

Nick,
Thank you for replying. I am also allocating equal amounts to all my systems.

January 18, 2023 at 1:45 am #115391

KateMoloney
Participant

Does real test show your overall portfolio return (multiple systems) … including systems across different time frames eg weekly, monthly, daily

January 18, 2023 at 1:16 pm #115392

JulianCohen
Participant

Yes it can do that
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