*Burner account as you would be able to know who I am from my main*
Hi all,
I've been tasked with managing my family's money for the last five years, and have been able to generate decent gains both from an absolute and a risk-adjusted perspective. Focus has been to create a well-diversified portfolio, investing mainly in equities, FI, and commods.
I have access to sell side research which I consume generously, and came across a paper by GS on how systematically running option strategies can provide significant benefits. Specifically, put selling strategies have been shown to provide excess returns, especially in environments where cost of lending is high. Because my portfolio is well diversified/well constructed, being able to generate these additional returns on top seems like the next step for me.
So I want to start implementing this in my family's portfolio, in a highly risk conscious way. For reference, I am planning on starting an allocation where the option notional is strictly lower than the FI portion, to ensure any overlay is well collateralised.
I have backtested my planned strategy and sharing some of the results here (put selling on SPY, diversified maturities, early rolls):
[https://postimg.cc/NK6604qk](https://postimg.cc/NK6604qk)
This to me seems like a no-brainer given I can easily sustain the debit incurred during (see realised Pnl) during Covid with the excess cash I need to maintain in the portfolio.
My question to you:
\- for people who have done this over the longer term, what are the main considerations/risks
\- how should I think about sizing?
\- are there optimal strategy configs I should consider?
Thanks very much in advance.
