Back testing and trading a system are only part of the overall complete trading package.
Lets say you have successfully created a system that you are comfortable trading with. What do you trade? How many shares/contracts/units?
I am looking for a web site or book that explains the why’s and how’s of how to put together a complete portfolio. I found many links using google search engine under the search query 'portfolio construction' and found some interesting topics but nothing detailed that takes the trader through the A-Z of portfolio construction methodology.
Example of some topics seeking info....
Minimum Dollar amount of trading Portfolio i.e.$100,000 ?
Asset Allocation Related
Portfolio Rebalancing i.e. monthly ,quarterly or yearly
How many stocks in the portfolio?
How many stocks in each sector?
How much money to be allotted to each sector position i.e. stock, bond, currency
How much money to be allotted to each constituent in each sector i.e. Stocks (Home Depot, P&G, Exxon) Bonds: Municipals, Government, Corporate) etc.
How many different asset classes? i.e. Stocks, Bonds, Precious Metals, Real Estate (REITS, ETF's), Currencies, Futures,
Stock/Company Market Cap i.e. Micro Cap, Small Cap, Medium Cap, Large Cap
Stock/Company Style i.e: Large Value, Large Growth,
Stock/Company i.e. International, Foreign, Domestic, Pacific Rim, World
Positions that are affected by various Economic Indicators i.e. Interest rate sensitive stocks?
Positions that are affected politically and by Government
Positions that are affected Geographically
Positions that are affected by various World Events
Positions that are affected by Sector news
Positions that are affected by Corp earnings
Looking for any advice on the info listed above. Modern portfolio Theory (MPT) and the efficient frontier by Harry Markowitz as well as William Sharp’s ‘Sharp Ratio’ are both certainly a great start but looking for more of a complete package that explains it all in either a book or web site.
Thank you for your time.
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