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.
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.