EOD equities: How many open positions at one time ?

[ivorm]

Here's a question for EOD equity traders holding positions for a few days to a few weeks.

Do you have an optimum number of positions that you try to have open at any one time. ?

I seem to remember reading that 16 is a good number, but I can't remember the reasoning behind it .

Any thoughts, anyone.

Regards,

 

[Roberto]

You must have missed the seminar at the Queens Hotel a few weeks ago where Alpesh Patel addressed this and other issues.

He said that the optimal number is 13 - 15, and had various slides offering "statistical proof" of this. I'm afraid I can't remember the reasoning, but he convinced the audience - myself included - that anything less than 13 was taking unnecessary chances and anything over 15 was unnecessarily diversified without affording any further risk reduction. To some extent, he was taking the opportunity to have one of his customary goes at fund managers who hold a portfolio of 100+ stocks, to whom he said exactly the same principle applies.

Someone with a better understanding of statistics than I have will doubtless provide a better explanation, but the answer was definitely 13 - 15.

 

[ivorm]

You must have missed the seminar at the Queens Hotel a few weeks ago where Alpesh Patel addressed this and other issues.

He said that the optimal number is 13 - 15, and had various slides offering "statistical proof" of this. I'm afraid I can't remember the reasoning, but he convinced the audience - myself included - that anything less than 13 was taking unnecessary chances and anything over 15 was unnecessarily diversified without affording any further risk reduction. To some extent, he was taking the opportunity to have one of his customary goes at fund managers who hold a portfolio of 100+ stocks, to whom he said exactly the same principle applies.

Someone with a better understanding of statistics than I have will doubtless provide a better explanation, but the answer was definitely 13 - 15.

Thanks Roberto.

Regards