macrocephalopod

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”

The entire premise of long vol funds is that they improve geometric return of a stock portfolio, but I took the returns of two of the big vol accounts, computed the optimal allocation to them to maximise long term geometric return, and the answer in both cases was 0%

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.

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.

i don't think they are much better...