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Thanks for the material Paul. This is a topic that interests me vey much. It goes beyond simply being a trader. It's about learning how to manage money ... large sums of money. No doubt that all the billionaire funds know these concepts all too well.
Billy, I think one can diversify in multiple ways. Using IWM is a great starting point, being diversified in 2000 different stocks. But it doesn't have to end there. One can add another layer of diversifiction by employing multiple systems using different markets/strategies/timeframes. It doesn't have to be 1000 systems, I think 3 (IWM,GDX,XLE) is a nice number that is still managable.
Here's a few more links from the excellent automated trading system blog :
http://www.automated-trading-system....on-free-lunch/ (I like the coffee cup analogy)
http://www.automated-trading-system....uce-drawdowns/
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