Vol twitter is fantastic because there is so much drama and noise and fury over which pet theory is right, and then you look up the 10y returns of the biggest, noisiest accounts and the only appropriate response is “....eh”
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One problem is not enough leverage/wrong fee model. If you need to invest 20% of your portfolio in a long vol fund to see a meaningful impact, the drag on returns is going to be too big to bear.
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Universa/Spitznagel have the right model. They expect to return -100% on most quarters (+4000% in crashes) so you need to keep topping up, but it’s very capital efficient.
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Apart from that I don’t know, I can only assume they are not very good at options
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How about "cheaper" long vol such as thru trend following?
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Works on average but not guaranteed. You also dilute the effect if you trade more asset classes (ie maximum convexity if you just trend followed ES futures, but then your E(R) would be terrible).
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