Using FM to manage different investment/trading strategies

[investor425]

Hi,

What would be the recommended way to use FM to manage multiple investment strategies?

In particular, the strategies can use the same etf's but each strategy trades those etf's differently.

eg.

Master Portfolio
---- Balanced strategy (SPY, VWO, AGG - invest in all three etf's with equal weight, rebalanced annually)
---- Dual Momentum strategy - (SPY, VWO, AGG - every month invest in the etf with highest trailing 1 yr return)
---- Long/Short strategy (short SPY, long VWO - invest in each side with equal weight, rebalance monthly)

1) For each strategy, I would like to be able to view performance statistics (return, StdDev, maxDD, sharpe), and allocation (%age of the master portfolio allocated to this strategy).
2) correlation matrix between the strategies
3) graph showing all strategies as well as the master portfolio
4) Finally, is there any smart way to organize things so when I retrieve transactions from the broker, the retrieval process can know which strategy a transaction pertains to?

Thanks for your great customer support!

[Mark]

Hi investor425,

Since you want to own different amounts in the same security you would need to create separate investments for each strategy. You can have multiple investments for the same security, so you can have separate transactions.

You could have a separate sub-portfolio for each strategy, and then have your actual owned account in a separate sub-portfolio. It doesn't work well to have multiple strategies being traded within the same account. You could, but it makes it more difficult to track. You would have to break apart a single security into multiple, one for each strategy. You can do this, but there is no automated way when retrieving transactions to know which investment a transaction should go into if you have multiple investments for the same security in an account.