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Portfolio heat and the ASX

Discussion in 'Trading Strategies/Systems' started by banco, Feb 6, 2013.

  1. banco

    banco

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    Hi all,

    Given how correlated ASX stocks seem to be (and I believe there's some evidence that post GFC the correlation has increased) what rules do you use as far as portfolio heat goes?

    I've found having 5 % at risk (spread over five different stocks) is too much and try to keep it to 3%. Note I am trading relatively short term (most trades last about 20 trading days).
     
  2. sinner

    sinner

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    Why not track the pairwise correlation of the stocks in your portfolio and reduce portfolio exposure systematically as avg pairwise correlation goes up?
     
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