Makes sense conceptually, but ~5% per strategy implies ~20 of them. Finding one decent strategy is hard - finding 20 uncorrelated ones - yowza! (For me, anyway)
Curious how this compares to simpler approaches like Permanent Portfolio that diversify across regimes at the asset level instead?
It is a fundamentally different approach. Asset-level diversification does help, of course, but in my experience it tends to provide less diversification than a portfolio of genuinely uncorrelated strategies. A strategy portfolio behaves more like an index, where strategies that lose their edge over time can be replaced.
I have not formally compared both approaches, as I focus exclusively on strategy portfolios in my own work. Regarding the number of strategies, I agree that 20 is very ambitious, especially as a side project. Finding the first robust strategy is the hardest part. The second is still difficult, but slightly less so. By the time you reach the tenth, it remains hard, but the process is much more structured.
In practice, starting with a portfolio of around 5 strategies already provides a meaningful view of what is achievable and is often enough to justify continuing the effort.
Makes sense conceptually, but ~5% per strategy implies ~20 of them. Finding one decent strategy is hard - finding 20 uncorrelated ones - yowza! (For me, anyway)
Curious how this compares to simpler approaches like Permanent Portfolio that diversify across regimes at the asset level instead?
It is a fundamentally different approach. Asset-level diversification does help, of course, but in my experience it tends to provide less diversification than a portfolio of genuinely uncorrelated strategies. A strategy portfolio behaves more like an index, where strategies that lose their edge over time can be replaced.
I have not formally compared both approaches, as I focus exclusively on strategy portfolios in my own work. Regarding the number of strategies, I agree that 20 is very ambitious, especially as a side project. Finding the first robust strategy is the hardest part. The second is still difficult, but slightly less so. By the time you reach the tenth, it remains hard, but the process is much more structured.
In practice, starting with a portfolio of around 5 strategies already provides a meaningful view of what is achievable and is often enough to justify continuing the effort.
Stacking strategies increase the fee/commissions.
What do you think about it?