Can we find inflation hedges in the stock market? The answer is yes—at least to some extent. Certain industries have offered some protection against inflation. A more robust hedge, however, can be found by combining value and momentum factors. Link👇

1/12 Löytyykö osakemarkkinoilta inflaatiosuojia? Löytyy, tai on ainakin historiassa löytynyt. Tietyt, usein raaka-ainetuottajien, teollisuudenalat ovat tuoneet suojaa inflaatiolta, mutta varmimmin suojaa on tarjonnut arvo ja momentum faktoreiden yhdistelmä.

1/2 A simple linear regression model based on short-term volatility systematically underestimates long-term volatility. This underestimation bias can be corrected by incorporating volatility of volatility into the forecasting model. Link to the blog post 👇