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Scenario guide / Multi-strategy portfolio simulator
Correlated crowding across three sleeves
A high-correlation setup that shows how a portfolio can look diversified on paper while still carrying one dominant risk under the hood.
Portfolio return
10.2%
Portfolio volatility
16.0%
Portfolio Sharpe
0.63
Diversification ratio
1.10
Median terminal
1.77x
Median max drawdown
26%
Why this scenario matters
This is the scenario to show someone when they keep adding sleeves but the total stack still behaves like one macro bet with prettier labels.
- High pairwise correlation can erase much of the diversification story.
- Extra sleeves do not guarantee a smoother path.
- Correlation structure matters as much as the individual sleeve Sharpe ratios.
Sleeves in this stack
Trend
40% weight · 11% return · 18% vol · corr A/B 0.78
Breakout
35% weight · 10% return · 19% vol · corr B/C 0.72
Beta-neutral
25% weight · 9% return · 15% vol · corr A/C 0.67