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The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

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We study the econometric properties of dynamic risk parity, which volatility scales to equalise risk through time using … the precision process, the inverse of the time-varying volatility. A particular focus is on the impact of the Sharpe ratio …. We give necessary and suffcient conditions that volatility scaling improves the Sharpe ratio of an investment. We …

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