Hello, nice analysis! I appreciate you engaging with the paper (I am the author). I like the way you tweaked the parameters (esp. the inverse vol weighting). I had played around with leverage as well, and had found that QLD was kind of my risk "sweet spot". What I like about the framework is that there are quite a few ways to take it. Thanks! --Tom Carlson
Hi, Tom! I appreciate the comment. I didn't expect to get a response from the author himself! Also thank you for the inspiration. QLD seems to show a nice risk-adjusted return in backtesting indeed.
Hello, nice analysis! I appreciate you engaging with the paper (I am the author). I like the way you tweaked the parameters (esp. the inverse vol weighting). I had played around with leverage as well, and had found that QLD was kind of my risk "sweet spot". What I like about the framework is that there are quite a few ways to take it. Thanks! --Tom Carlson
Hi, Tom! I appreciate the comment. I didn't expect to get a response from the author himself! Also thank you for the inspiration. QLD seems to show a nice risk-adjusted return in backtesting indeed.