013: Hedge fund manager Andreas Clenow discusses cash vs risk allocation, position rebalancing and why traditional trend following doesn't work in stocks.
Better System Trader
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What's the Biggest Insider Benefit of the Year by Year Review?
If you're actually taking smaller trades because the volatility of a stock is higher, does that indicate that generally the returns will be lower? It depends on how much you allocate. The idea is that every position should have an equal risk contribution to the portfolio. That's why you do the volatility-based sizing. This is my first book, following the trend back in 2012. My thought with doing this was that when you just see a simulation of just a long-term simulation, just a result, a monthly table or an equity curve, you don't really get a feeling for what it’s like to trade this.
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