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Without doing portfolio optimization, how do long short portfolio managers size their positions?

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  • $\begingroup$ At its simplest, you could use an equal weighted scheme: if you want 100 long positions and you want the gross exposure to be 1,000,000 then each position should be 10,000 USD worth of stock. Of course there can be many refinements and complications. $\endgroup$
    – nbbo2
    May 5, 2022 at 19:53
  • $\begingroup$ Very often "position sizing" is used in marketing/promotion of Portfolio Managers. But I've never heard anyone explain what it means quantitatively, i.e. within what model. $\endgroup$
    – TickaJules
    May 6, 2022 at 2:01
  • $\begingroup$ @nbbo2 you have any suggested resources that will help my understanding? I get that you can equal weight them, cap weight them, vol adjusted them, but I am more interested in what happens in practice. Let's say they are convicted in AAPL, how do they size the bet to optimize this conviction? $\endgroup$
    – quant-lab
    May 6, 2022 at 11:54

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