"Conclusions: The backtest evidence shows that you can achieve a higher maximum CAGR with vol targeting, because it has a large Sharpe Ratio advantage that is only partly offset by it's small skew disadvantage...Now it's very hard to win these kinds of arguments because you run up against the inevitable straw man system effect. Whatever results I show here you can argue wouldn't hold with the particular system that you, as a purer trend follower reading this post, happen to be running."
This might be of interest if you haven't seen it: https://qoppac.blogspot.com/2022/06/vol-targeting-cagr-race.html
"Conclusions: The backtest evidence shows that you can achieve a higher maximum CAGR with vol targeting, because it has a large Sharpe Ratio advantage that is only partly offset by it's small skew disadvantage...Now it's very hard to win these kinds of arguments because you run up against the inevitable straw man system effect. Whatever results I show here you can argue wouldn't hold with the particular system that you, as a purer trend follower reading this post, happen to be running."