Portfolio Studio
Portfolio Studio lets you combine multiple strategies into a portfolio. Diversification across uncorrelated strategies reduces overall risk and smooths returns.
Workflow
- Compose — Select strategies and set allocation weights
- Analyze — Review combined metrics, correlation, and equity curve
- Selection — Backtest N-of-M rotation strategies
- History — Track changes to your portfolio over time
Compose Tab
Adding Strategies
Select from your imported strategies. Each strategy gets a percentage allocation that must total 100%.
Position Sizing Methods
| Method | Description |
|---|---|
| Equal Capital | Allocate the same dollar amount to each strategy |
| Equal Risk | Allocate based on inverse volatility — riskier strategies get smaller allocations to equalize risk contribution |
Allocation Weights
Set how much of your portfolio goes to each strategy. The weights must sum to 100%.
Analyze Tab
Combined Equity Curve
Shows the portfolio's equity curve alongside individual strategy curves. See how diversification smooths out drawdowns.
Correlation Heatmap
A matrix showing how correlated each pair of strategies is:
| Correlation | Color | Meaning |
|---|---|---|
| -1.0 to -0.3 | Green | Negatively correlated (good for diversification) |
| -0.3 to 0.3 | Blue | Uncorrelated (good) |
| 0.3 to 0.7 | Yellow | Moderately correlated (some diversification) |
| 0.7 to 1.0 | Red | Highly correlated (minimal diversification benefit) |
Tip
For maximum diversification, combine strategies with low correlation (below 0.3). Two highly correlated strategies behave almost identically — you're not getting diversification benefit.
Diversification Score
A single number (0–100) measuring how well-diversified the portfolio is based on average pairwise correlation and allocation concentration.
Portfolio Metrics
All 95+ metrics recalculated for the combined portfolio, including a new portfolio-level CSI score.
Selection Tab (N-of-M Rotation)
Test dynamic strategies that rotate capital among the best-performing N strategies out of M total:
- Example: Keep the top 3 performing strategies out of 8, rebalanced monthly
- Backtests various lookback periods and selection criteria
- Compares rotation vs. static buy-and-hold allocation
Backtest Engine
Portfolio Studio includes a full backtest engine that:
- Simulates daily or monthly rebalancing
- Accounts for trading costs when rotating
- Compares portfolio vs. individual strategy performance
- Shows improvement metrics (reduced drawdown, improved Sharpe, etc.)
Key Concepts
Rebalancing
Periodically re-adjusting allocations back to target weights as strategies drift. More frequent rebalancing = closer to target weights but higher trading costs.
Diversification Benefit
The portfolio's max drawdown should be lower than the worst individual strategy's drawdown. The more uncorrelated your strategies, the stronger this benefit.
Static vs. Rebalanced Comparison
Portfolio Studio automatically generates a static (no rebalancing) comparison alongside your rebalanced portfolio. This lets you see the impact of rebalancing by comparing the two side-by-side — how allocations drift with market performance versus being periodically reset to target weights.
Tip
Ready to see this in action? Start your free trial — no credit card required.