Guide to Building a Barbell Strategy Position Allocation System

Based on your shared investment evolution journey, the following systematically explains how to build an effective barbell strategy between “deterministic investments” and “high-odds investments”.

The barbell strategy is an

portfolio construction method, holding two distinct types of assets simultaneously:

• One end: Deterministic assets
  (high win rate, medium-low returns)
• The other end: High-odds assets
  (low win rate, high returns)
• Middle: Abandon mediocre assets

Expected return = Win rate × Return magnitude - (1-Win rate) × Loss magnitude

: Win rate >70%, single return 10-30%
: Win rate <40%, single return >100%

• Strong cash flow and moat
• Stable industry position (leader/oligopoly)
• Reasonable or undervalued valuation
• Dividend yield >3%

Allocation Principle	Specific Requirements
Single stock upper limit	8-12%
Number of positions	8-15
Industry concentration	Single industry <40%
Turnover rate	<50% per year

• Cognitive depth
  : >90 points (fully understand the business model)
• Margin of safety
  : >20% discount to intrinsic value
• Downside risk
  : <15%

• Disruptive technology or business model
• Large market space (10x potential)
• Early stage/high controversy
• Valuation difficulty or large market divergence

Allocation Principle	Specific Requirements
Single stock upper limit	2-5%
Number of positions	10-20
Industry diversification	Cover 3-5 emerging tracks
Dynamic adjustment	Quarterly evaluation

• Layered buying
  : Initial 1%,加仓 to 3-5% after verification
• Stop-loss discipline
  : Mandatory review triggered at -30%
• Time stop-loss
  : Exit process initiated if no progress in 18 months

├── Deterministic positions: 45%
│   ├── Core positions (5-8% ×5 stocks) =25-40%
│   └── Satellite positions (2-3% ×5 stocks)=10-15%
│
├── High-odds positions:25%
│   ├── Headline opportunities (3-5% ×3-4 stocks)=10-15%
│   └── Exploratory opportunities (1-2% ×8-10 stocks)=10-15%
│
├── Cash/flexible positions:20%
│   ├── Strategic cash (10%):应对 systemic risks
│   └── Flexible funds (10%): Capture sudden opportunities
│
└── Risk hedging:10%
    ├── Volatility hedging (5%)
    └── Industry neutrality (5%)

(hard trigger):

• Adjust when deterministic position deviation exceeds 5%
• Adjust when high-odds position deviation exceeds3%
• Reduce/increase position when a single stock rises/falls more than 50% of initial position

:

• Increase deterministic positions to55% when market VIX index >25
• Increase high-odds positions to35% when market VIX index <12
• Reduce high-odds positions by50% when personal win rate <50% for 3 consecutive months

###1. Stock Selection Weight (10%)

• Deterministic end
  :5-10 targets based on in-depth research
• High-odds end
  :20-30 targets based on theme screening
• Investment list
  : Continuously maintained, no more than50 tracked in depth

###2. Betting Strategy (40%)

:

f* = (bp - q) / b
Where:
b = Profit-loss ratio (expected return/expected loss)
p = Win rate
q =1-p

:

• Deterministic investment: f*=(0.7×1.5-0.3)/1.5=50% (actually reduced to30-40% considering portfolio risk)
• High-odds investment:f*=(0.3×5-0.7)/5=8% (actually controlled at2-5%)

:

• Deterministic targets:3 rounds of position building (30%→40%→30%)
• High-odds targets:2 rounds of position building (50%→50%, after verification)

###3. Psychological Management (50%)

:

• Deterministic positions
  : Provide psychological security, allowing calmness in high-odds end
• High-odds positions
  : Meet return expectations, prevent over-conservatism in deterministic end
• Cash positions
  : “Safety valve” for anxiety

:

• Assuming 50% loss in all high-odds positions, maximum portfolio drawdown <20%
• Assuming annualized return of only8% for deterministic positions, portfolio still has chance to outperform market

• Monitor position deviation
• Record emotion diary (psychological state of buy/sell decisions)
• Update research notes

• Evaluate 10/40/50 implementation
• Check win rate and profit-loss ratio
• Adjust single position upper limit

• Comprehensive rebalancing
• Evaluate cognitive depth score
• Update investment assumptions
• Stress test portfolio

1. Avoid Middle Trap
   :果断 abandon targets that are neither deterministic enough nor high-odds enough
2. Beware of Correlation
   : Correlation between deterministic assets and high-odds assets should <0.3
3. Cognitive Honesty
   : Overestimating certainty is the biggest risk
4. Survival First
   : No strategy should threaten principal safety

The essence of the barbell strategy is to

. 45% deterministic positions provide stabilizer,25% high-odds positions provide explosive power, and30% cash and hedging provide safety margin. The10/40/50 rule reminds us:20% of investment success comes from research,40% from position management, and50% from psychological discipline.

In the AI era, the threshold for information acquisition is lowered, but

have instead become the real source of excess returns.