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We demonstrate how simple long-term volatility forecasts can be improved by incorporating the volatility of short-term volatility into forecasting models. The theoretical framework for modelling volatility...

Can we find inflation hedges in the stock market? The answer is yes—at least to some extent. We find that certain industries, particularly those related to resource equities, have historically offered...

Last edit on 24-Mar-2025 Are stocks an inflation hedge? At least in the long run? We find the answer to both questions is no. While fundamental returns—comprising dividend return and earnings growth—do...

Constructing a high Sharpe ratio portfolio, paired with sensible leverage, is the key to achieving meaningful returns with tolerable risk. We will make some simplifying assumptions to build intuition,...