Weight times crash depth

A sleeve is 25% of the book and you write its crash depth as 60%. How many points of the book does it lose in that crash?

• 35 points
• 15 points
• 60 points

Which is the right order for sizing a sleeve?

• Read the sleeve's rate, pick a weight, then check the crash
• Write the loss budget and crash depths, solve for the weight, and only then look at rates
• Copy the weights from a model portfolio, then write a budget to match