Risk is not volatility or tracking error, it is the permanent loss of capital – and most portfolio-construction machinery measures the wrong one. A market-capitalisation benchmark describes the past; using it to control risk quietly outsources position sizing to momentum. Every active portfolio holds two bets: selection, which is measured, and sizing, which is merely asserted. Decades of evidence show naive equal weighting is remarkably hard to beat, because sizing rests on return estimates too noisy to trust – the gain from over-weighting favourites is arithmetically ...