Volatility
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Intraday Volatility in the COVID Era: Why it Matters
Intraday volatility is a substantially more important metric in this new regime. As the global health and economic situation evolves, more sudden shifts in overall volatility are likely, and historic volatility metrics will be slow to respond to such events.
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Factor Strategies React to Crisis-Induced Volatility
In volatile markets, asst managers were monitoring portfolios in real-time to determine how factors were behaving and affecting risks in their portfolios.