Risk-Averse Portfolio for Income

If you vol weight it you'll have large FI exposure, not good if rates go up.

 

When you say "vol" you mean volatility, correct?

But you first said you suggest it be done by vol-weighting, but you now you wisely point out the risk of vol weighting. So I am confused ...or am I missing something?

 

No, you got it, there's always a trade off one way or the other.

 

OK. Understood. What do you think of just a simple equal weighting.

 

You need to add some optionality/convexity to a passive portfolio construction if you want to beat the S&P; whether it be some ratio overwriting, simple CC or some sort of leveraged-ETF arbitrage. Beta or vola-weighting is pointless as you'll be constantly tinkering and who says it will beat? By definition it will fail (to beat) over the long-term.

 

long spy long tlt

 

I see your point about optionality/convexity. However, does that not expose you to greater risk?

Also the aim here is not to beat the S&P, but to achieve a return in the range of -5 to 10%.

 

How about Short SPY Short TLT?

 

sure why not

 

Not passively w/o some sort of correlation arb.