Profit and Loss Magazine – CTAs Feeling the Heat

Profit and Loss Magazine – CTAs Feeling the Heat

We were lucky enough to be featured in another article from Profit and Loss Magazine – CTAs Feeling the Heat. We provided data and analysis, and a number of our charts were included. Following is a synopsis. CTAs Feeling the Heat: 2018 saw CTAs cap a generally...
Taking Out the Outliers II

Taking Out the Outliers II

This is a follow-up to my previous post in which I described Rousseeuw’s FastMCD algorithm for using the minimum covariance determinant approach to calculating a robust covariance matrix. I want to use the example from that post (the relationship between the...
Taking Out the Outliers

Taking Out the Outliers

If you do anything that depends upon correlation, you owe it to yourself to be aware of outliers and how to deal with them. For example, a mean-variance optimized portfolio using Modern Portfolio Theory or the Black Litterman model is critically dependent upon, and...