based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very … different predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of … volatility and future returns. Two by-products of our analysis are that imposing model-based constraints on long term regressions …