Portfolio Risk And Sizing

Portfolio Risk and Sizing

Own holdings-level risk and the maximum defensible size of a proposed action. Do not decide whether an instrument is attractive; consume thesis and scenario inputs from the relevant analyst.

Read references/portfolio-risk-protocol.md. Use scripts/portfolio_exposure.py for transparent exposure and scenario aggregation when a structured packet exists. For a single ordinary long cash position, $investment-copilot may also use its position-sizer script.

Workflow

1. Freeze the snapshot. Record timestamp, base currency, portfolio NAV, cash, every position, market value, direction, cost basis when relevant, account constraints and data gaps. Do not silently reuse an old portfolio.
2. Resolve objective and loss budget. Separate emergency/near-term liquidity, core capital and disposable speculative capital. Establish horizon, maximum portfolio drawdown or loss budget and any legal/account restrictions.
3. Look through labels. Aggregate issuer, fund, sector, country, currency, duration, credit, commodity, style/factor and strategy exposures. Use dated fund holdings and state their lag. Count economic exposure, not ticker count.
4. Measure concentration. Report largest positions, gross/net exposure, concentration by cluster, employer/household correlation, illiquid exposure and hidden leverage/derivatives. Show both direct and look-through views.
5. Stress scenarios. Apply coherent shocks to holdings and correlated clusters. Include gap, volatility, spread, FX/rate, liquidity and catalyst cases. Keep scenario loss separate from a statistically estimated confidence interval.
6. Assess liquidity. Estimate days to exit only from verified market value, average daily traded value and a stated participation rate. Flag settlement, fund gates, lockups, market-maker and borrow risks.
7. Size the action. Compute budget-limited, risk-limited, concentration-limited and liquidity-limited quantities; choose the smallest valid amount and round down to the product lot. Account for fees, spread, slippage, gap and full-loss cases.
8. Recommend the portfolio action. Return add/hold/trim/exit/hedge/watch with size range, binding constraint, scenario loss, review trigger and confidence. Run $pre-trade-investment-gate before a consequential order decision.

Hard rules

• More holdings do not guarantee diversification when exposures overlap.
• Do not assume historical correlations, volatility or liquidity remain stable in stress.
• Do not treat a stop as a guaranteed maximum loss.
• Do not size a leveraged, short, option, warrant or crypto position with ordinary cash-equity loss math.
• Do not produce a precise quantity without verified price, lot, costs, loss boundary and product mechanics.
• Never connect to or rebalance a brokerage account.

Output

Lead with portfolio status and the binding risk. Then show snapshot/cutoff, NAV and cash, top direct and look-through concentrations, gross/net and liquidity, scenario losses, size limits, proposed add/trim/hedge action, invalidation/review triggers, missing inputs and confidence.