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by bpm11
4642 days ago
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I do like the idea of strategically selling volatility in a portfolio. I've been toying with the idea of adding some of these orthogonal (or nearly so) parameters in the Kivalia framework...as it would be cool to see how a portfolio is positioned with regards to things like vol, momentum, etc. I'm sure we'll come back to this, but we'll want some stable ETFs to use as factors. Russell had a slew of interesting ETFs but closed them down due to lack of interest. |
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It would be hard to recommend volatility selling to anybody who you've got a fiducial responsibility for. People really don't like drawdowns.