  The DNA of a diversified portfolio  Managed Money  DNA is
life; it contains the blueprint for the creation of virtually
all known living organisms. Genes are segments of DNA that act
as fundamental building blocks, and hence maintaining the
integrity of such genetic instruction sets is paramount to the
health of an organism (or "fitness"). In much the same way that
inbreeding can reduce genetic robustness and, thereby, increase
susceptibility to illness and disease, an insufficiently
diversified portfolio may be subject to an increased likelihood
of uncharacteristically poor performance under a particular set
of market conditions. Market environments that are stressful for
one type of trading program, however, may be beneficial to
another. It is exactly this type of divergent behavior that we
wish to identify systematically and combine in order to
construct a robust, resilient portfolio that bends but does not
break.  Too often, portfolios are constructed with a single goal
in mind: To maximize Sharpe ratio