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Risk Management

更新日期:2月 3




Rules:

  1. Never be net long more than 50% of your capital.

  2. Do not use the leverage.

  3. Do not be net short.

  4. Potential profit should be 3 times larger than the potential loss. ie: 3-1 R/R-ratio.

  5. Size the positions according to the level of conviction, but never put more than 5% of the capital into any individual position.

  6. Do not put more than 10% of your capital in one single sector or theme.

  7. Trade at the right price.

  8. Ensure that I have lots of different ideas in my portfolio that are uncorrelated.

  9. Run the portfolio at such a level that you can still sleep at night.

To build a Long-Short Portfolio

buying Apple without hedging.



buying Apple and hedged ( long A, short B)

long Apple and short Yahoo (pair trade; sector risk hedge )



Never be net long more than 50% of your capital.

to calculate the Net position is use long value plus short value. ie $14000 + (-8000)

net position
.xltx
Download XLTX • 10KB

Size the positions according to the level of conviction, but never put more than 5% of the capital into any individual position.



Do not put more than 10% of your capital in one single sector or theme.


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