Different strategies in one v.s. multiple accounts

T

tonyf

I am finding it hard mixing high volatility with low volatility strategies in the same PM account and am considering setting up multiple accounts at IB to fix that.

Is that the best way to approach this and will it impact my margin allowance and risk profile at IB?

I am open for other ideas as well.
 
tonyf said:
I am finding it hard mixing high volatility with low volatility strategies in the same PM account and am considering setting up multiple accounts at IB to fix that.

Is that the best way to approach this and will it impact my margin allowance and risk profile at IB?

I am open for other ideas as well.
More...

What exactly is 'hard'?

You will have to pay multiple sets of data fees, and AFAIK you won't benefit from cross margining across accounts.

GAT
 
globalarbtrader said:
What exactly is 'hard'?

You will have to pay multiple sets of data fees, and AFAIK you won't benefit from cross margining across accounts.

GAT
More...
hard is pain in the ass.
auditing is a pain, skew is terrible and portfolio vol is all over the place.
But I get your point regarding fees. It is the margining I am most concerned about.
 
I think each strategy has to stand on its own. Are you recording each one separately. I personally have a scalping account and then i have a longer term strategy separately. If variance swings positive on one and negative on another on the same account you can be chasing your tail. You have to be mentally tough to see that through whereas if they're separate i think its cleaner and better all round imo
 
With futures you can easily make sub-accounts. Not sure about a straight up equities account, though.
 
It's a PITA yes. I trade 5-6 different "books" in the same account. Keep track of everything in a Excel spreadsheet containing current Eq and risk parameters for each book, etc.

Splitting up will negatively affect your margin as I believe OCC-PM uses a VaR/ES model to gauge total portfolio risk.
 
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