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The Position Sizing Calculator

A standard risk-desk method, made concrete: size a position so that a realistic adverse move costs a fixed, chosen share of the account — not a fixed number of shares picked by feel. Pick any of AEA's real holdings and this uses that name's actual measured daily volatility, the same real data behind the Volatility & Correlation Engine.

Runs entirely in your browser. Your account size and risk tolerance are never sent anywhere.

Size a position

Account size ($) Risk per position (% of account) Holding (real, measured volatility) Spot price ($) Stop distance, in multiples of daily volatility Manual daily volatility % (only if not picking a real holding)

The logic, spelled out

Real daily volatility (standard deviation of daily log returns, not annualized) tells you roughly how far a name typically moves in a single day. Multiply that by a stop-distance multiple — 2× daily volatility is a common, moderate choice — to get a realistic stop-loss distance in percentage terms. Divide the dollar amount you're willing to lose (your account size × your risk percentage) by that stop distance in dollars per share, and you get the share count that keeps your actual dollar risk constant regardless of how volatile the name is. A quiet name and a wild one get sized very differently for the same dollar risk — which is the entire point.

Where this connects to AEA's own rules

This tool checks its own output against AEA's real Investment Policy Statement cap — 10% of the book in any single position at cost — and flags it plainly when volatility-based sizing alone would blow through that cap. In practice, position size should be the smaller of what your risk budget allows and what your concentration limit allows, never just one or the other. Run the resulting portfolio through the Risk X-Ray for the full concentration and leverage picture across every position at once.

Methodology & limitations

Volatility source. When a real holding is selected, daily volatility is the standard deviation of daily log returns computed directly from that position's own real closing-price history (the same dataset behind the Volatility & Correlation Engine) — not an estimate or an implied-volatility figure.

Stop-distance multiple. A judgment call, not a law of physics. 2× daily volatility is a common, moderate default; a tighter stop (1×) sizes larger positions with a higher chance of a routine daily move stopping you out; a wider stop (3×+) sizes smaller positions that tolerate more day-to-day noise.

What this doesn't account for. Overnight gap risk (a stop-loss order doesn't protect against a price that gaps past it), correlation with other positions already held (see The Concentration Premium for why that matters), and transaction costs.

Not investment advice. This is a mechanical sizing calculation, not a recommendation to buy, sell, or hold any security, and not a substitute for judgment about your own actual risk tolerance.