When I was working a structured products the vol target funds where a means to an end. You'd use low vol target underlying to create cheap options. The primary motivation was high margins (of course)but I think it's more elegant than just adding a synthetic dividend like I see people doing.
I agree with you and Meb Faber -- employing simple moving-average filters can be quite useful. But I also appreciate the concept of allocating investments (to some degree) based on their recent volatility. Actually, I like both approaches so much that I combine the two. Just my way of making my life more complicated, I guess...
When I was working a structured products the vol target funds where a means to an end. You'd use low vol target underlying to create cheap options. The primary motivation was high margins (of course)but I think it's more elegant than just adding a synthetic dividend like I see people doing.
I agree with you and Meb Faber -- employing simple moving-average filters can be quite useful. But I also appreciate the concept of allocating investments (to some degree) based on their recent volatility. Actually, I like both approaches so much that I combine the two. Just my way of making my life more complicated, I guess...
https://martinschwoerer.substack.com/p/i-combined-risk-parity-with-momentum