If it’s Broke, Fix it: Rethinking the Classic 60/40 Allocation Strategy by Using Volatility as an Asset Class
IBKR Podcasts
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Volatility as an Asset Class Delivers Superior Risk Adjusted Returns
volatility as an asset class is at least a partial solution to the problem. It's one of the most mean reverting assets, which means that it delivers those returns in a very, very consistent way. I personally tend to recommend that a volatility strategy occupy over 10% of an asset allocation. But in my work, benefits are realized with allocations as low as 5%.
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