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Volatility targeting

Scaling position size inversely with forecast volatility so the portfolio aims at a constant risk level rather than a constant notional.

If your target is 12% annualised and the forecast volatility of the instrument is 24%, you hold half a unit. When forecast volatility drops to 8%, you hold 1.5 units. The notional moves around a lot; the risk contribution does not.

The benefits are real but specific: more stable drawdowns, a smoother equity-curve, and improved compounded return through reduced volatility drag. It does not raise expected return and it will not save you from a gap, because forecast volatility is always backward-looking.

Costs to budget for: the rebalancing generates turnover and therefore slippage, and the method mechanically increases size in calm markets, which is exactly where leverage-driven blowups originate. Cap the maximum position regardless of what the formula says.

Related: realised-volatility, position-sizing, garch, turnover

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

How a position size is worked outAccount size, risk per trade and stop distance feed into one box giving the number of shares.ACCOUNT SIZE$25,000your capitalRISK PER TRADE1%of the accountSTOP DISTANCE$0.50entry to stopPOSITION SIZE500 sharesrisk budget: $25,000 × 1% = $250position size: $250 ÷ $0.50 = 500 shares
Working out a position size. Three numbers decide how big a trade is: the account, the share of it put at risk, and the distance from entry to stop. One percent of $25,000 is a $250 budget, and a $0.50 stop divides into that 500 times.

Educational only, not advice. Spotted an error? Post in Site Feedback.