Correlation Risk
How correlated markets can concentrate risk even when a Turtle-style portfolio holds many symbols.
Diversification by symbol is not the same as diversification by risk. Several positions can behave like one large position when markets become correlated.
Market group risk
Turtle-style systems often group related markets. In crypto, BTC, ETH and many large altcoins may rise and fall together during stress. In traditional markets, energy contracts, equity indices or currencies can also cluster.
Why limits are needed
If every correlated market triggers a breakout at the same time, accepting all signals at full size can overload the portfolio. The system should define maximum exposure by market group and total account risk.
Practical controls
- group related instruments;
- cap total Units per group;
- reduce duplicate exposure;
- review correlation during stress, not only during calm periods;
- record when a signal is skipped because group risk is already full.