Alpha Sizing Heuristics: Proportional-of-Vol, Sharpe-Based, and Event Rules

Renaissance Technology's Sharpe ratio jumped from 2 to 6+ not because the signals improved, but because portfolio construction improved. The mapping from expected return to position size is where most of the economic value of a good thesis is either captured or destroyed. This note develops the four sizing heuristics a fundamental equity PM can apply with standard analytical tools — no optimizer required — and presents the empirical evidence that the simplest rule (proportional to expected return) outperforms mean-variance optimization in practice.

1. The Sharpe ratio as the PM's objective
2. Constructing expected returns
3. The four sizing rules
4. Why proportional beats mean-variance in practice
5. From ideas to factor-neutral positions
6. GMV scaling and leverage