Relative weighting of all your strategy portfolios

[Guest keymaster]

Hi,

I love the portfolio approach you take, it's the right way to go and you are absolutely correct that unfortunately other services do not do it this way.

If someone has a $100,000 account, and they've subscribed to all four of your strategies (Steady options, anchor, Steady condor, and Pure Volatility), how would you recommend they allocate their capitol to each strategy?

In your performance stats, you provide CAGR, StdDev, and Sharpe for each of the four strategies. That's fantastic, it is already more than anyone else provides. But you do not provide correlation between the four strategies.

In order to use portfolio optimization, one needs the correlations as well.

Would it be at all possible for you to also show a correlation matrix between the four strategies? This would enable people to plug the values into a portfolio optimizer and determine sharpe optimal weightings for each of the different strategies.

If that is too difficult, how would you recommend someone divide up their resources across the four strategies to maximize sharpe across the entire $100,000 portfolio?

Thanks.

[Kim]

I'm not an investment adviser and cannot give specific advice. You might want to contact Chris or Jesse for a consultation.

The strategies are not correlated. SO and SC are non directional strategies. Anchor is correlated to S&P 500 and designed to provide protection against market decline. PV trades volatility products and TLT, so again, completely uncorrelated to other services.