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Liquidity for Fund Selection

Can anyone give me a ballpark figure of what dollar volume value would typically be considered liquid vs illiquid as it pertains to selection for the fund?

2 responses

Hi Mike,

We haven't set global portfolio liquidity limits at this point. I think a reasonable rule of thumb to start would be to limit algos holding positions that are under ~10% of the daily dollar volume for a single stock. So to back that out to a stock level liquidity cap you could just look at your algo's maximum possible allocation per stock and multiply that by a few different possible allocation sizes (e.g. $100k portfolio, $500k, $1mm, $5mm) and get a sense of whether any of the names in your universe would put you close to that level of concentration.

Hope that's helpful guidance, Jess

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Great, thanks Jess