portfolio correlation with walked forward models

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Updated December 27, 2016

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portfolio correlation with walked forward models

alko · 2016-12-27T11:12:46-05:00

Hi all, How do you deal with adding a strategy to a portfolio and of course one wants to add uncorrelated or negatively correlated strategies, if you are adding a strategy with variable set by WF and which will be revised again say in 200 days. How can you estimate contribution of this strategy with changing variable to your portfolio? Thank you.

December 27th, 2016, 11:12 AM	#1 (permalink)
alko San Diego, USA Elite Member Experience: Intermediate Platform: MC Trading: All Posts: 48 since Aug 2016 Thanks Given: 7 Thanks Received: 14	Hi all, How do you deal with adding a strategy to a portfolio and of course one wants to add uncorrelated or negatively correlated strategies, if you are adding a strategy with variable set by WF and which will be revised again say in 200 days. How can you estimate contribution of this strategy with changing variable to your portfolio? Thank you.