Quantocracy’s Daily Wrap for 09/07/2020

There are 6 properties that empirical correlation matrices exhibit that no synthetic generation method has been able to replicate, until now. Enabling researchers to backtest strategies on an abundance of data would make our algorithms and strategies more robust, accurate, and efficient. Since historical data can be biased and does not have enough high-stress events to test multiple scenarios,

Volatility hedge funds provided attractive diversification benefits for equity portfolios However, long were preferable over short volatility strategies Some scepticism is required for the hedge fund index performance INTRODUCTION In finance 101, there is usually little doubt on what constitutes the major asset classes in the investment industry, i.e. there are the traditional ones like equities