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seen Mar 20 '13 at 3:20

Mar
15
awarded  Student
Mar
14
comment Is Optimization ignoring correlation valid?
Thanks RICH! re the data - we look only at the major developed currencies vs the USD (ie G10 currencies). the forecast model generates fresh expected returns every week ahead period. For the covariance matrix we draw on the 52weeks preceeding the week ahead period in question, using this period to measure historical volatility in each currency and the correlations. The frustration is that the results ex-correlation are too good to ignore - we have gone back 12 years in backtesting so it doesnt sound like a one time anomaly. this may be a classic case of facts clashing with theory...
Mar
14
answered What is the expected return I should use for the momentum strategy in MV optimization framework?
Mar
14
comment Is Optimization ignoring correlation valid?
I run the optimizer each week to dervice holdings or the week ahead, going back 12yrs..it is not a single period anomaly. holding down the correlations generates substantial outperformance through the entire sample period. I am running the analysis on currencies. thanks for your interest...
Mar
13
asked Is Optimization ignoring correlation valid?