Hedge Fund Data Hygiene: Tips and Tricks

Hedge Fund Data Hygiene: Tips and Tricks

Before you can start analyzing hedge funds you need to scrub the data. We look at the basics of hedge fund data hygiene. We give you some tips and tricks specific to Hedge Funds, and tell you what to watch out for.

GI => GO (IV) Generalized Extreme Value Distribution

GI => GO (IV) Generalized Extreme Value Distribution

As part of my procedure for back-testing, I validate the data before using it. One of the validation steps is to check for unusually large daily changes in the raw close. Here I explore the extreme value distribution and its role in data validation protocols for systematic trading system design.

GI => GO (III)  Data Validation

GI => GO (III) Data Validation

Even the best commercially available data contains errors. You must have a data validation protocol to help you find and remove them. Remeber your analysis is only as good as your data!