lack_ey wrote:Right, for any given allocation, the more leverage at any given time, the higher the volatility. To try to keep volatility more consistent (primarily), the leverage is deliberately adaptive for this fund.
In theory you could do volatility targeting for any portfolio. For (long-only) stocks and bonds, this would essentially look like some kind of mechanical market timing scheme for shifting AA. If you had a target of 12% annual standard deviation this might be something like 80% stocks/20% bonds at some times, but 60% stocks/40% bonds at others, for example. I don't know if it would be much different over the long run compared with a static allocation. Volatility targeting is generally more seen for long/short funds, where you're scared of spikes in volatility, which could really kill the short positions if the assets zoom back up, and also because such funds are frequently leveraged too.
^^^ That's an interesting perspective, thanks.
There's one more part that I'm still missing. Could someone explain what a style factor is?
From the wiki: Factors (finance), a factor is a common characteristic among a group of assets. Based on the discussion for QSPIX, the factor does not appear to be ones used by the Fama-French three-factor model analysis, which utillize price/book and size (high / low) ratios.
What defines a style factor for QSPIX?