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Recommended drawdown tolerance for each constituent in a portfolio

In order to maximise the expected return for the whole portfolio, it would be great to have some guidance on what is the optimal cut off point for selling each Darwin held in the portfolio. Perhaps this drawdown tolerance limit might not be too difficult to calculate for each constituent as a function of its current allocation within the portfolio, given that the risk has already been calculated for the VaR.

The recommended tolerance could be expressed in percentage terms for each entry on the “Invested Darwins” tab. This page is already quite busy, but perhaps the figure could be made available as hovering text, or in some other way that doesn’t take too much space on the page.

If that’s too difficult or lengthy, perhaps you could direct us to a table of values for the simplest case, in which all constituents are equally weighted.

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