Portfolio of Strategies

Read these first

1. 01Allocating Capital vs Allocating Risk

   Giving two strategies the same dollar allocation is not the same as giving them the same risk, a low-volatility strategy needs more notional and often leverage to contribute as much risk as a high-volatility one, and platforms that confuse the two end up with portfolios dominated by whichever strategy happens to be the most volatile.

2. 02Drawdown Control at the Portfolio Level

   Rules that automatically cut a portfolio's risk after a loss, reduce gross exposure by half at a 5% drawdown, flatten entirely at 10%, trade away some of the recovery upside from staying invested through a dip, in exchange for capping how bad a bad month is allowed to get.

3. 03The Multi-Strategy Platform Model

   Firms like Millennium and Citadel run dozens to hundreds of independent trading teams (pods) on one balance sheet, each given a narrow risk budget and cut loose fast if it loses too much, trading the deep diversification of many small, uncorrelated books against the operational cost of constantly hiring, funding, and firing them.

Then the rest

1. 04Defining Sleeves in a Multi-Strategy Book
2. 05Allocating on Short, Noisy Track Records
3. 06Allocating to Capacity, Not Just Sharpe
4. 07Crowding Between Your Own Books
5. 08Diversifying Across Holding Horizons
6. 09Equal Risk Allocation Across Sleeves
7. 10Estimating Correlations Between Strategies
8. 11Hidden Common Factor Exposure Across Sleeves
9. 12Kelly Allocation Across Strategies
10. 13Margin Efficiency Across a Multi-Strategy Book
11. 14Netting Offsetting Positions Across Books
12. 15Pod Shops and How They Allocate Risk
13. 16Pod Stop-Outs and De-Risking Cascades
14. 17Reallocating Based on Recent Performance
15. 18Selecting Strategies and Managers
16. 19The Central Risk Book
17. 20The Firm-Level Risk Budget
18. 21The Firm's Gross Exposure and Leverage Budget
19. 22Why Strategy Correlations Blow Out in Stress
20. 23Mean-Variance Across Strategies and Why It Fails