Three rules for the size trade.
01
Read the regime, not the average. The 20-year mean hides the years size hands a fifth of the book back.
02
The premium that is left is paid for illiquidity. You collect it by holding the deeper drawdown, not by being clever.
03
Size is a tilt, not the whole book. Set the weight you can SIP through nine red months, then leave it.
Small beats large in the right weather. The rest of the time you are renting volatility and calling it a factor.