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January 20, 2021

The decline in volatility for risk assets should allow systematic strategies to increase their allocations.

Earlier this month, we noted that based on futures and options data, investors were still hedging their positions and were not fully allocated for a large recovery year-over-year (YOY) in economic growth and corporate profitability.  Another way we try to measure and monitor this is by looking at trailing volatility.  There are a large, growing...
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