Thank you for a most interesting article. This is indeed and exciting trading avenue. I am though confused about something: if you only allocate max 20% of your portfolio to shorting volatility, and that short portion delivers a return of about 100% a year, how is it possible that your entire portfolio (including the 80% that is not exposed to short vol) could be up 100%?
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Are We Shorting Volatility And How
Thank you for a most interesting article. This is indeed and exciting trading avenue. I am though confused about something: if you only allocate max 20% of your portfolio to shorting volatility, and that short portion delivers a return of about 100% a year, how is it possible that your entire portfolio (including the 80% that is not exposed to short vol) could be up 100%?