Position sizing for last position in a portfolio

Products SPA3 Income
1

I bought URTY in yesterday’s session through a MOC order to fill my last available spot in my SPA Income Portfolio. The closing price was about 4.5% above the prior day’s close. Having used the position sizing calculator in SPA Trademaster to estimate the number of shares to buy, I was prepared to be slightly more than 100% invested if price had moved up strongly (which it did), as I have a relatively large excess cash buffer in my trading account. However, as it turns out I am now nearly 104% invested with a decent sized negative cash balance in my TM Portfolio Summary.

I would have been well above 100% invested even if price had NOT moved at all compared to the prior day’s close.

I therefore suggest that TM’s position sizing should automatically revert to “Cash available” in one’s portfolio when calculating position size for the last available spot, rather than using “Open Profit at Risk” (which is my default) to avoid having a position size much larger than actual cash nominally allocated for trading.

My question now is: should I sell some of my shares in URTY at market open tonight to get the portfolio back to being as close to 100% invested as possible or should I wait until the exit signal.

Would appreciate your thoughts on both issues Gary.

2

Dietmar,

Changing to Cash Available won’t solve the problem of a big intraday move taking a MOC order value to > than cash available in BC’s Portfolio Manager.

For the last position it is a good idea for the default position size calculation NOT to exceed the actual cash available. Will pass onto the Dev team.

Regarding being ‘over invested’ due to the scenario you describe. In my personal portfolios I usually leave the couple of % of being over in the market until the exit. Logic: I’m trading a edge so it’ll work in my favour over the long term.

In the Public Portfolios I leave the over investment in the market in my trading account. However, in BC Portfolio Manager I reduce the Qty bought to fit into the cash that was available. So that the PP isn’t accused of making profits on more cash that it had available.

E.g. for URTY in today’s US session, my order placed yesterday had a Qty of 422, which took the bought position to more than the cash available in PM with URTY’s rise. I’ve left 422 in the market but only entered 413 into PM.