Study 3: Cross-Asset Predictive Relationships

Can movements in some assets predictive future vol & returns in others?

Motivation: Trading Cross-Asset Interactions

Since markets are interrelated, it’s possible that movements in one asset could be associated with notable future movements in another.

This study explores that possibility. It answers questions like “do high returns in DBO (an oil ETF) tend to be followed by high future returns in EEM (an emerging markets ETF…