Position Sizing: Is the new shiny method better?

July 10, 2019

A webcast presentation originally held on July 10, 2019 by Cesar Alvarez as part of the CMT Association’s Educational Web Series.

Cesar will be evaluating several different position sizing methods for a short term mean reversion strategy. These include Percent of Equity, Percent Risk, Percent of Volatility and Target Volatility. Comparisons will be done on Compounded Annual Growth, Maximum Drawdown and Sharpe Ratio. Are the more complicated methods better?