Most investors spend their time deciding what to own. Fewer think deeply about how to weigh those holdings. Yet portfolio construction often determines diversification, drawdowns, turnover, and long-run returns just as much as asset selection and signal generation.
Many theoretical portfolio construction methods seem elegant, but few survive real market conditions.
In this post, I test six popular portfolio construction approaches across two very different universes, a multi-asset ETF portfolio and a diversified commodity futures basket, to see which methods actually held up out of sample, after trading costs.
