GEVORDERD · DERIVATEN & ALGO

Portfolio Construction

Allocation, rebalancing, diversification math, and the difference between a portfolio and a collection of trades.

Combineer alles: bouw je eigen complete handelsstrategie stap voor stap.

Portfolio vs. Collection of Trades

Many traders have positions but not a portfolio. The difference:

A collection of trades is a set of independent bets with no consideration of how they interact.
A portfolio is a deliberately constructed set of positions where the interactions (correlations, risk contributions) are considered and managed.

The shift from "taking trades" to "managing a portfolio" is one of the most important transitions in a trader's development.

Allocation Frameworks

How you divide capital across positions matters as much as which positions you choose:

Method	Logic	Pros/Cons
Equal weight	Same dollar amount in each position	Simple; doesn't account for volatility differences
Risk parity	Equal risk contribution from each position	Accounts for volatility; more complex to calculate
Conviction-weighted	More capital to higher-conviction ideas	Leverages skill; concentrates risk if wrong
Volatility-adjusted	Position size inversely proportional to volatility	Normalizes risk; may underweight best opportunities

Risk parity example: If Asset A has 20% annual volatility and Asset B has 10%, risk parity would allocate twice as much capital to Asset B. This way, both positions contribute roughly equal risk to the portfolio.

Diversification: The Math

Diversification reduces portfolio risk when assets are not perfectly correlated. The portfolio volatility formula for two assets:

Portfolio Vol = sqrt( w1² × σ1² + w2² × σ2² + 2 × w1 × w2 × σ1 × σ2 × ρ ) w = weight, σ = volatility, ρ = correlation

When ρ = +1 (perfect correlation), there's no diversification benefit. Portfolio vol = weighted average of individual vols.
When ρ = 0 (uncorrelated), significant diversification benefit. Portfolio vol is lower than any individual position.
When ρ = -1 (perfect negative correlation), maximum diversification. You can theoretically eliminate all risk.

In practice, true negative correlation is rare. Most assets are somewhat positively correlated, especially during stress.

Rebalancing

Rebalancing is the process of adjusting your portfolio back to target allocations after market movements have shifted them:

If you target 50/50 stocks/bonds and stocks rally, you might end up at 60/40. Rebalancing means selling some stocks and buying bonds.
Rebalancing is inherently contrarian - you sell winners and buy losers to maintain your target allocation.
This can feel wrong psychologically but is mathematically sound for maintaining your risk profile.

Rebalancing frequency is a trade-off:

Too frequent: High transaction costs, tax implications.
Too infrequent: Portfolio drifts far from target, risk profile changes.
Common approach: Rebalance when any allocation drifts more than 5% from target, or on a fixed schedule (monthly/quarterly).

Concentration vs. Diversification

There's a tension between concentration (fewer, higher-conviction positions) and diversification (more positions, lower individual risk):

Concentration: Higher potential returns but higher risk. One bad position can devastate the portfolio. Requires high skill and conviction.
Diversification: Lower individual risk but diluted returns. Protects against being wrong on any single idea.

The right balance depends on your edge. If you have a strong, proven edge in a specific area, some concentration is justified. If you're uncertain, diversification is the safer choice.

Warren Buffett's paradox: "Diversification is protection against ignorance. It makes little sense if you know what you are doing." The key word is if. Most people overestimate how much they know.

Drawdown Budget

A drawdown budget is the maximum loss you're willing to accept before reducing risk or stopping:

Set a portfolio-level maximum drawdown (e.g., 20%).
As drawdown increases, reduce position sizes proportionally.
At maximum drawdown, go flat and reassess.

This prevents the common pattern of increasing risk during losing streaks ("I need to make it back") which is the fastest path to ruin.

Putting It All Together

Portfolio Construction Checklist

Define your risk budget (max drawdown, max position size, max correlation exposure).
Choose an allocation method (equal weight, risk parity, conviction-weighted).
Check correlations between all positions - are you more concentrated than you think?
Set rebalancing rules (threshold-based or calendar-based).
Stress test: what happens in a 2008-style crash? A 2020-style V-recovery? A prolonged sideways grind?
Document everything. Your portfolio construction rules should be as precise as your trading rules.

Practice

Exercise

Design a simple 4-asset portfolio. For each asset, specify:

What it is and why you'd include it
Target allocation percentage
Estimated volatility
Estimated correlation with each other asset
Rebalancing rule

Then stress test: what happens if all correlations go to 0.9 during a crisis?

Key Takeaways

A portfolio is deliberate; a collection of trades is not.
Allocation method (equal weight, risk parity, etc.) determines risk distribution.
Diversification benefit depends on correlation - and correlation spikes in crises.
Rebalancing is contrarian by nature - sell winners, buy losers to maintain targets.
Set a drawdown budget and reduce risk as losses accumulate.

Je eigen strategie bouwen

Na alle lessen is het tijd om alles samen te brengen. Een complete handelsstrategie combineert technische analyse, risicobeheer, psychologie en discipline.

Stappen om je strategie te bouwen

1. Kies je markt: Focus op één of twee instrumenten om te beginnen.
2. Definieer je edge: Wat geeft jou een voordeel? Een specifiek patroon? Een indicator-combinatie?
3. Stel regels op: Entry, exit, stop-loss, positiegrootte — alles moet vooraf gedefinieerd zijn.
4. Backtest: Test je strategie op historische data.
5. Paper trade: Oefen met virtueel geld voordat je echt geld riskeert.
6. Evalueer en pas aan: Houd een handelsdagboek bij en verbeter continu.

Belangrijkste punten

Een strategie is pas compleet als alle componenten gedefinieerd zijn.
Begin eenvoudig en voeg complexiteit toe naarmate je ervaring groeit.
Consistentie verslaat perfectie — volg je regels.
Blijf leren, blijf aanpassen, blijf disciplined.

Les afgerond

Je hebt afgerond: Portfolio Construction. This is the final lesson in the Advanced track!