Risk Management

Quantitative statistics are useful in describing existing risk exposures, but Field Street maintains a risk management framework that outlines the firm’s typical response to market events and portfolio drawdowns.

  • Stop losses;
    the firm generally employs soft stop losses at the trade-, sub-portfolio-, and portfolio-level. Given the firm’s trading focus, our typical preference is to respond aggressively to losses
  • Standard deviation of daily returns;
    realized volatility is generally used to adjust portfolio risk exposures and identify potential regime shifts or dislocating market environments
  • Liquidity profiling;
    liquidity is generally a direct input into position sizing. Changes to market liquidity require additional analysis