How to allocate position size with weight allocation of portfolio using beta

(Last Updated On: November 3, 2014)
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How to allocate position size with weight allocation of portfolio using beta

Next up is the most useful you will see for this system.

Calculations below include portfolio size, margin %, with $ amount, theme size with margin % and $.

This includes:

1. Iterating through each open positions, calculate beta, determine weight allocation of all deployed capital in open positions (both for long and short) and long/short percentage.

2. Use long/short weight percentage and also calculate percent of total long long/short percent weight. Do the same for the shorts.

3. You should be able to calculate each position % and $ allocation.

4. Of course, there is the current position where you will be able to calculate number of shares to purchases with total. You should be able to calculate the porfolio % allocated.

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