Some years ago, a colleague made the argument that volatility should be thought of as an asset class. That means that taking exposure to implied volatility, in the form of volatility bonds, or long dated OTC options, can enhance returns and have low correlation to existing traditional portfolios. This was said in the context of interest rate volatility, although the same could be said of fx or equity volatility. Does anyone agree or disagree with this concept? Is volatility an asset class?
I accept that volatility is a risk factor, not an asset class, as @kiwiakos points out. Suppose someone suggests a volatility bond, where you receive the realized volatility on some underlying asset over some period. Does this ever have a logical place in a portfolio?