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6

This is indeed a subtle point. What is generally meant with this statement is that correlation is going up in bear markets, so it is not so much the "turmoil" part (i.e. volatility per se) but the "trend" (i.e. negative in this case) part. Putting it another way is that when you control for volatility not the correlation but the covariance (which is the part ...


5

There is the Hudson C++ trading simulation library on google code. Hudson is free and open-source under the GNU GPL v3. It also contains functionality for computing statistics and tools for integration with your trading strategy implementation. From the website Hudson calculates various statistics, including compound annualized growth rate, % ...


3

Accurately stated: Diversification helps during turmoil, but helps less as what would be expected by using $w^T \Omega w$ as the portfolio variance where the off-diagonal covariances are estimated during tranquil periods. This is because correlations and covariances change during turmoil, typically increasing. This reduces the benefit of diversification ...


2

You are not doing anything wrong. You just need to multiply the absolute return by the currency conversion factor. Example: You trade 200,000,000 yen notional and generate a return of 16% on that notional, then simply multiply 32,000,000 jpy gain by your conversion factor 0.0126 to yield a return of 403,200 USD. The return of 16% was generated on the ...



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