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Assuming you're going to be fitting a linear regression, creating a correlation (Pearson) matrix of all assets is a common first step to filter endogenous (or multicollinear) variables from your test set.


Indeed Pearson correlation coefficients measure only linear relationships. Spearman correlation coefficients measure only monotonic relationships There is a comprehensive article there.


Generally, managers take subscriptions and redemptions periodically, the frequency of which is defined in their offering documents. At the end of each period (daily, monthly, quarterly, etc), a NAV is struck, redemptions are processed, and subscriptions are processed, in that order. Striking a NAV is something that has to be done before any subscriptions ...

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