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Looking Forward Not Backward When Estimating Volatility
When you drive a car, you need to look out your front window and not the rear-view mirror. The same
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What is the Proper Benchmark for Momentum or Trend-Following Strategies?
Most academics and practitioners tend to compare momentum or trend-following strategies to a buy and hold investment strategy. They do
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Volatility Futures and S&P500 Performance
Do Volatility Futures Provide Useful Information for Future S&P500 Performance? Volatility or VIX Futures are based on the S&P500 index
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