FYI: There’s a large body of research demonstrating that, while past returns do not predict future returns, past volatility largely predicts future near-term volatility.
For example, since 1926, the correlation of returns between adjacent 60-trading-day periods is essentially zero. In contrast, the correlation rises to 0.55 for risk as measured by standard deviation. Evidence that past volatility predicts future volatility has been found not only in stocks, but in bonds, commodities and currencies.
Regards,
Ted
http://www.etf.com/sections/index-investor-corner/swedroe-managed-vol-strategies-work?nopaging=1
