I wrote my thesis on this subject. Slow active allocation rules like selling 2x leveraged for 1x fund when hitting x volatility percentile and buying back in when we drop below the volatility percentile can GREATLY reduce downside risk.
OOS I managed to have near identical return to 2x's return, but shrunk the MaxDD from 78% to 52%
I wrote my thesis on this subject. Slow active allocation rules like selling 2x leveraged for 1x fund when hitting x volatility percentile and buying back in when we drop below the volatility percentile can GREATLY reduce downside risk.
OOS I managed to have near identical return to 2x's return, but shrunk the MaxDD from 78% to 52%
Interesting. Can you share your thesis here?