Portfolio & Index Research

Term Structure of Volatility

Jose Menchero

Bloomberg

October 2018

1
 Outline
 Measuring Accuracy of Volatility Forecasts
 Variance ratios and bias statistics
 Q-statistics
 Asynchronous Trading
 Daily Volatility Forecasts
 Candidate models
 Empirical results
 Monthly Volatility Forecasts
 Candidate models
 Empirical results
 Summary

2
Measuring the Accuracy
of Volatility Forecasts

3
 Measuring Risk Model Performance
 Risk and Performance Attribution
 Objective: attribute risk and return to individual factors
 Factors must properly disentangle systematic drivers from idiosyncratic
 Explanatory power (R2) measures efficacy of factor structure
 High t-statistics identify factors with strong signal/noise ratio

 Risk Forecasting
 Objective: accurately predict porfolio volatility
 Measure accuracy using variance ratios, bias statistics and Q-statistics

 Portfolio Construction
 Objective: increase portfolio risk-adjusted performance
 Minimize risk for a fixed exposure to a factor
 Compare out-of-sample volatility of optimized portfolios

4
 Bias Statistics and Variance Ratios
 Bias Statistic can be computed in cross section or in time series
f kt 1 1
zkt =
σ kt
→ Bk = ∑ kt
T t
z 2
or Bt =
K
∑ kt
z 2

 Intuitive measure: represents the ratio of realized/forecast volatility

 Downsides: 1) Subject to error cancelation
2) Mean is dependent on the order (Bk vs Bt)
3) Even for perfect forecasts, E[B]≠1 (Jensen’s inequality)
 Variance Ratio
1
B = 2

KT
∑ kt
z
kt
2
Variance Ratio

 For perfect forecasts, expected value of variance ratio is exactly 1

 Mean variance ratio is independent of the order of averaging
 Downside: still subject to error cancelation
5
 Mean Absolute Deviation (MAD)
 Bias statistic Mean Absolute Deviation (MAD):
 Measures the extent to which the bias statistic deviates from 1
 Expected value for 12m windows is 0.164 for perfect forecasts (normal dist)
 Expected value increases for fat-tailed distributions (perfect forecasts)
 Intuitive measure that penalizes sub-periods of over/under forecasting
 Subject to error cancelation within window (i.e., not suitable for calibration)

 Unlike variance ratio, MAD is intrinsically order dependent:

 Option (1): compute cross-sectional MAD and average across time
 Option (2): compute time-series MAD and average across factors
 We follow Option (2) since it is more aligned with how risk managers measure biases in practice:

1
MAD
=
K
∑B
k
k −1 Mean Absolute Deviation

6
 Q-Statistics
 Important characteristics of Q-statistic:
 Provides the most reliable method of evaluating forecast accuracy
 Minimized in expectation when true volatility is used for every forecast

Q=
kt z 2
kt − ln ( kt )
z 2
Q-statistic
2.55
Perfect Risk Forecasts
 Not subject to error cancelation 2.50

Expected Q-stat
 Well suited for model calibration
2.45
 Perfect Forecasts: 2.40
 Expected value of Q depends on return distribution 2.35
 For normal distribution, expected value is 2.27
2.30
 Expected value of Q increases with increasing
kurtosis (fat tails) 2.25
3 4 5 6 7 8
t-distribution Kurtosis

Patton. Volatility Forecast Comparison using Imperfect Volatility Proxies, Journal of

Financial and Quantitative Analysis, Vol. 160, No. 1 2011, pp. 246-256 7
 Translating Q-Statistics into Forecast Errors
 Absolute value of Q-statistic is of secondary importance
 Primary objective is to compare Q-statistics across models
 Differences in Q-statistics can be linked to forecast error
 Result is independent of distribution!
 Suppose true volatility of 1, and let σP denote
predicted volatility Increase in Q-statistic
1
E [ ∆Q ] = + 2 ln (σ P ) − 1
σ 2
P

 ∆Q = 0.05 represents 15% error

 ∆Q = 0.01 represents 7% error
 Rule of thumb: 0.01 reduction in Q-stat considered
“meaningful” improvement

Plot average of over/under forecasting

8
Asynchronous Trading

9
 Forecasting Risk at Different Horizons
 Global portfolios are priced using asynchronous data
 Asynchronicity may induce serial correlation in factor returns
 Even factors in synchronized markets may exhibit serial correlation
Serial correlation must be explicitly accounted for when using high-frequency
observations to forecast risk over longer horizon

 However, as long as the observation frequency matches the prediction horizon,

asynchronicity can (and should) be ignored
Using daily observations to estimate risk over a one-day horizon does not
require any special adjustment for serial correlation

 Alternative approach (not followed here):

 Build one model to estimate unobservable “synchronized” returns
 Build another model to forecast the volatility of synchronized returns

10
 Asynchronicity in Trading
 Trading hours may overlap little between different markets:
 US trading day overlaps Japan by 10 hours US market “leads” Japanese
 US trading day overlaps UK by 19.5 hours market

Tokyo
Japan

London
UK
USA
New
Wednesday trading day seen York
Tuesday Wednesday from US time zone

 Daily correlation misses effects of asynchronicity

 Serial correlation must be taken into account
11
 Example
 Take factors from US, Europe, and Japan equity models (V7)
 Compute volatilities from 01-Jul-2008 to 04-Aug-2017
 Compute volatility of daily and monthly (20d) returns
 Form “global” factor by equally weighting the three “local” factors

Observations: Annualized Volatilities

 Local market factors exhibit negative Daily Monthly Vol Ratio
serial correlation Portfolio (Factor) Volatility Volatility (M/D)
US Market 21.43 20.03 0.93
 Local momentum factors exhibit Europe Market 20.19 19.27 0.95
positive correlation Japan Market
Global Market
21.86
16.10
18.55
17.58
0.85
1.09
 Asynchronicity induces a positive serial US Momentum 4.23 5.30 1.25
Europe Momentum 4.01 5.81 1.45
correlation in global factor returns Japan Momentum 3.52 3.83 1.09
Global Momentum 2.89 4.45 1.54

12
 Market Factor Correlations (Lead/Lag)
 US returns are highly correlated with same-day Europe returns, but also significantly
correlated with next-day Europe returns
 US returns are highly correlated with next-day Japan returns, but only weakly
correlated with same-day Japan returns
Day (t) vs Day (t) Day (t) vs Day (t+1)
0.8 0.6

US/Europe
0.6 0.5
Correlation

Correlation
US/Japan

0.4 0.4
Europe/Japan
Europe/Japan

0.2 0.3
US/Japan
US/Europe
0.0 0.2
2009 2011 2013 2015 2017 2009 2011 2013 2015 2017

Year 504-day half-life

Year
13
 Momentum Factor Correlations (Lead/Lag)
 Correlation Structure of Momentum Factors:
 US returns are highly correlated with same-day Europe returns, but also exhibit strong correlation
with next-day Europe returns (lead/lag)
 US returns are highly correlated with next-day Japan returns, but only weakly correlated with same-
day Japan returns
Day (t) vs Day (t) Day (t) vs Day (t+1)
0.7 0.6
US/Japan
0.6
US/Europe 0.5

Correlation
0.5
Correlation

0.4 0.4
US/Europe
Europe/Japan
0.3 0.3
0.2 Europe/Japan
0.2
0.1
US/Japan
0.0 0.1
2009 2011 2013 2015 2017 2009 2011 2013 2015 2017

Year Year
504-day half-life
14
Daily Volatility Forecasts

15
 Daily Volatility Forecasts
 One-day volatility forecasts estimated using daily factor returns:
Since observation frequency matches prediction horizon,
serial correlation effects may be safely ignored

 Candidate volatility models:

1) Static EWMA (common parameters for all factors)
2) Static EWMA (unique parameters for every factor)
3) Dynamic EWMA (common parameters for all factors)
4) Dynamic EWMA (unique parameters for every factor)
5) Static GARCH (1,1) with common parameters for all factors
6) Cross-sectional volatility (CSV) adjustment
 Parameter selection:
 Minimize Q-statistic over in-sample period using grid-search algorithm
 Static approach keeps parameters fixed for out-of-sample period
 Dynamic approach updates parameters using rolling windows
16
 EWMA and GARCH (1,1)
 EWMA is a one-parameter model
 HL parameter governs responsiveness of forecast
 Simple method for assigning more weight to recent observations

∑ m t −m ( ) t −1 t −1
σ t2 =v
m
r 2
= 1 − λ r 2
+ λσ 2
EWMA Variance

 GARCH (1,1) is a three-parameter model

σ t2 =α rt 2−1 + βσ t2−1 + γσ 2 GARCH (1,1) Variance

 Third term is interpreted as a long-run variance (mean reversion)

 EWMA is a special limiting case of GARCH (1,1) obtained by setting γ = 0 and α +β = 1

17
 Cross-Sectional Volatility (CSV) Adjustment
 Volatility estimation involves finding optimal balance between:
 Using a short HL to give most weight to recent observations
 Using a long HL to minimize sampling error
 Using cross-sectional data permits more weight for recent observations without
incurring high penalty in sampling error
 Cross-sectional bias statistic identifies “instantaneous” bias
1 f kt2
2
Bt =
K
∑σk
2
Cross-sectional Bias Statistic (Period t)
kt

 Compute mean bias over recent periods (EWMA)

2
B= ∑t t →
v
t
B 2
σ%
=
k Bσ k CSV Adjusted Volatility

 Low sampling error (2d HL with 50 factors ≈300 observations)

Menchero and Morozov. Improving Risk Forecasts Through Cross-Sectional 18

Observations, Journal of Portfolio Management, Spring 2015, pp. 84-96
 Link between CSV Adjustment and Q-statistic
 Suppose we uniformly scale a set of volatility forecasts by γ
σ%
kt = γσ kt Scaled Volatility Forecast

 Question: what value γ minimizes the aggregate Q-statistic?

 Let vt be the EWMA weight assigned to period t
z 2
 z 2
 Aggregate
γ
Qkt =
γ
kt
− ln  2 
kt
∑ t kt
Qγ =v Q γ
Q-Statistic
γ 
2
kt

 Set derivative to zero and solve for gamma

dQγ 1
= 0=
dγ
γ 2

K
∑ t kt
v
kt
z 2

The CSV adjustment represents the volatility multiplier that

minimizes the aggregate Q-statistic over a trailing window
19
 Daily Forecasts of US Equity Factors
 Data: 21y of US (V8) daily factors (29-Mar-1995 to 01-Apr-2016)
Results (full sample): 2.60
EWMA with CSV

Q-Statistic
 Simple EWMA selects optimal HL of 20 days 2.55 Simple EWMA

 CSV approach selects 40-day HL for EWMA

2.50
and 2-day HL for CSV
 CSV approach reduces sampling error while 2.45
making the forecast more responsive 0 20 40 60 80 100
1.15
 CSV reduces Q-stat by 0.026 relative to Half-LifeEWMA
(days)
with CSV

B-Statistic
simple EWMA 1.10 Simple EWMA
 Short HL leads to B>1 for EWMA due to 1.05
Jensen’s inequality 1.00
 CSV approach produces B-stats closer to 1
0.95
0 20 40 60 80 100

In-sample results Half-Life (days)

20
 Daily Forecasts of US Factors (Out-of-Sample)
 Use calibration windows of 4y and 8y
 Out-of-sample testing periods are 17y and 13y, respectively
Results:
 CSV static performed best 2.52
Static Dynamic
 CSV reduced Q by 0.026 relative to EWMA EWMA
4y Calibration
8y Calibration
static EWMA 2.51 (unique) (unique)
Static Dynamic
EWMA Static
 Using unique parameters didn’t help 2.50 (common)
EWMA
GARCH (1,1)

Q-statistic
(common)
(common)
(over-fitting)
 GARCH (1,1) was very similar to 2.49 CSV Dynamic
EWMA
static EWMA 2.48
(common)
CSV Static
 Results not sensitive to calibration EWMA
(common)
window 2.47

 EWMA & CSV parameters same for 2.46

two windows
1 2 3 4 5 6 7
Model
Out-of-sample results 21
 Rolling Variance Ratios
 Every day, compute cross-sectional variance ratio of factors
 Average over trailing 252 days: 1 f kt2
B2 =
KT
∑σ 2
Variance
Ratio
Observations: kt kt
1.5
 Mean is slightly above 1 due to
B2 EWMA (Simple)
1.4
Jensen’s Inequality CSV (on EWMA)
1.3

Squared B-Stat
 CSV biases are very small, even
1.2
during crisis periods
1.1
 EWMA exhibits significant biases,
1.0
even with 20d HL
0.9
 Upward spike observed in
0.8
September 2001
0.7
1994 1998 2002 2006 2010 2014 2018

Year
No winsorization of z-scores 22
 Rolling 12d MAD (Smoothed)
 Averaging B2 across time may allow for error cancelation
 To prevent this, penalize all B-stat deviations over 12d windows
 Smooth by averaging 12d MAD over trailing 252-day window
1 0.30
MAD
=
K
∑B
k
k −1
0.28

0.26

12-day MAD
Observations: 0.24

 CSV outperformed EWMA over all 0.22

market regimes 0.20
 Performance gap was largest during 0.18
EWMA (Simple)
CSV (on EWMA)
financial crisis period (2008-2010)
0.16
1994 1998 2002 2006 2010 2014 2018

No winsorization
Year
23
 Rolling Q-Statistics
 Q-statistic not subject to error cancelation 1
 Compute rolling 252-day Q-statistic Q=
KT
∑Q
kt
kt

 Mean performance gap was 0.026

 CSV beat EWMA over all periods (except tiny “blip” in 2004)
 Performance gap was largest (0.096) in 2008

24
 Daily Volatility Forecasts (Global Factors)
 Data: 8y of global (V7) daily returns for 50 industry/style factors
(03-May-2010 to 21-May-2018) 2.55
CSV (on EWMA)
Observations:

Q-Statistic
EWMA (Simple)
2.50
 CSV reduced Q-stat by 0.013
relative to EWMA 2.45

 CSV biases: 2.40

 Forecasts essentially unbiased 0 20 40 60 80 100
1.10
 Shows that serial correlation is irrelevant Half-Life (days)
1.05

B-Statistic
(frequency match)
1.00
 EWMA biases:
0.95
 Short HL (B>1) due to Jensen CSV (on EWMA)
0.90 EWMA (Simple)
 Long HL (B<1) due to sample period
0.85
(post financial crisis)
0 20 40 60 80 100
Simple EWMA HL (20d) Half-Life (days)
EWMA/CSV HL (40d/5d) 25
Monthly Volatility Forecasts

26
 Candidate Models for Monthly Forecasts
 Low Frequency (LF)
 Compute volatility of monthly returns
 Medium Frequency (Current PORT)
 Compute volatility of weekly returns and scale by 2
 High Frequency (HF)
 Compute volatility of daily returns and scale by 20
 POINT Mixed Frequency (MXF)
 Blend responsive forecast with long-run forecast and apply scaling
 Newey-West (NW)
 Estimate volatility using daily returns but account for serial correlation
 Newey-West Low-Frequency Blend (NW/LF)
 Blend the NW and LF forecasts to reduce estimation error
 CSV technique can be applied to any candidate model
27
 Low-Frequency Model (Monthly)
 Aggregate daily factor returns to 20-day horizon (monthly)
 Directly compute volatility of monthly factor returns (EWMA)
 Strength: serial correlation is automatically incorporated
 Weakness: subject to high sampling error
Monthly (1m Forecast)
 Data set: daily factor returns from global 2.60

equity model (V7)

2.55
 Use 50 industry/style factors

Q-Statistic
 Burn-in: Jul-2008 to May-2010
2.50
 Testing: May-2010 to May-2018
 Optimal HL is nine months 2.45
 To mitigate sampling error, LF model uses Qm=2.445
relatively long HL 2.40
0 10 20 30 40 50

LF Half-Life (months)
In-sample results 50 global industry/style factors
Test Period: May-2010 to May-2018 28
 Medium-Frequency Model (Weekly)
 Aggregate daily factor returns to 5-day horizon (weekly)
 Directly compute volatility of weekly factor returns (EWMA)
 Serial correlation is partially incorporated
 Sampling error is partially mitigated (compared to monthly)
Weekly (1m Forecast)
 Optimal HL is 30 weeks 2.50
 Very close to PORT HL (26w)
2.48
 Q-statistic is marginally better (0.008) than

Q-Statistic
LF case
2.46
 Q-statistic rises steeply with short HL due to
sampling error
2.44
 Q-statistic rises steeply with long HL due to Qm=2.437
stale data
2.42
0 20 40 60 80 100

In-sample results 50 global industry/style factors Half-Life (weeks)

Test Period: May-2010 to May-2018 29
 High-Frequency Model (Daily)
 Compute volatility of daily factor returns (EWMA)
 Multiply by 20 to scale to a monthly forecast
 Strength: high-frequency observations minimizes sampling error
 Weakness: biases may exist if factors are serially correlated
Daily (1m Forecast)
 Daily performs much worse than either 2.60
weekly (0.043) or monthly (0.035)
 Explanation for long HL:

Q-Statistic
2.55
 Positive serial correlation leads daily model to
underforecast
 Long HL gives more weight to financial crisis 2.50
(overforecast)
 Errors tend to cancel Qm=2.480
2.45
0 100 200 300 400 500

In-sample results 50 global industry/style factors Half-Life (days)

Test Period: May-2010 to May-2018 30
 POINT Mixed-Frequency Estimate (MXF)
 POINT uses mixed-frequency (MXF) approach:
 Use daily factor returns to estimate monthly volatility
 Estimate “short-run” volatility (using 42d HL)
 Estimate “long-run” volatility (using 2y equal-weighted window)
 Blend the two estimates with weight w
 Apply scaling φ to account for serial correlation

σ k φk  wkσ kSR + (1 − wk ) σ kLR 

= MXF Volatility

 Parameters φ and w are estimated for each factor k

 Estimate parameters using maximum likelihood with 48m HL
 Essentially equivalent to finding the pair of parameters that minimizes the Q-statistic
(no distributional assumptions)
 Parameters are updated every period
31
 Newey-West (NW) Volatility Estimate
 Consider aggregating returns across q periods
R (q ) = R1 + R2 + L + Rq Aggregate q-period return

 Andrew Lo (FAJ 2002) derived formula for the q-period variance:

 q −1
 l 
σ 2
LO ( q ) = qσ 1 + 2∑ 1 −  ρl 
2

 l =1  q 
 NW volatility formula is obtained by truncating sum at L lags
 L
 l  
σ NW ( q ) = qσ 1 + 2∑ 1 −
2 2
 ρl  NW Variance
 l =1  L +1 
 When serial correlations vanish, NW reduces to usual expression
 NW volatility depends on three parameters:
(a) volatility HL, (b) serial correlation HL, and (c) number of lags
32
 Effect of NW Lags
 Global equity factors tend to exhibit positive serial correlation
 Underforecasting tendency due to positive serial correlation
 Overforecasting tendency due to test period (post financial crisis)
 NW Parameters: 180d volatility HL, 200d serial correlation HL

NW (1m Forecast) NW (1m Forecast)

1.15 2.50

1.10 2.48
Bias Statistic

Q-Statistic
1.05 2.46

1.00 2.44
Qm=2.430

0.95 2.42
0 2 4 6 8 10 0 2 4 6 8 10

In-sample results
NW Lags 50 global industry/style factors NW Lags
Test Period: May-2010 to May-2018 33
 Newey-West Low-Frequency (NW/LF) Blend
 Blend NW model with the low-frequency model:
σ
= k wσ NW
k + (1 − w ) k
σ LF
NW/LF Blended Volatility

 Five-parameter model: 3 for NW, HL for LF, and blending weight

 Optimal parameters
 Minimize Q-statistic using 5d grid-search algorithm

Benefits of Blending:
 Potential reduction in estimation error
 Greater modeling flexibility
 Newey-West and low-frequency are recovered as special limiting cases
 Low frequency approach may perform relatively better for fixed income in which the
daily pricing is less reliable

34
 Plot NW/LF versus Blending Weight
 Parameters: 30d HF HL, 2 lags, 200d SC HL, 18m LF HL
 Overforecasting tendency mitigated due to short HF HL (30d)
 Overforecasting tendency exacerbated due to long LF HL (18m)
 Even with two lags, pure NW significantly underforcasts (B=1.17)
NW/LF (1m Forecast) NW/LF (1m Forecast)
1.20 2.50

1.15 2.48
Bias Statistic

Q-Statistic
1.10
2.46
1.05
2.44
1.00

0.95 2.42
Qm=2.413
0.90 2.40
0 20 40 60 80 100 0 20 40 60 80 100

LF Weight 50 global industry/style factors LF Weight

In-sample results Test Period: May-2010 to May-2018 35
 US Equities Empirical Results (Out-of-Sample)
 Data set: US equity (V8) daily factor returns (1994-2016)
 Calibration window: 1996-2000
 Out-of-sample test period (02/2000 to 04/2016)
 Trim z-scores to 4σ and 0.0025σ to avoid fitting extreme data points
 CSV (NW/LF) had the best out-of-sample performance
 CSV technique reduced the Q-stat and MAD for every model
 Improvement was biggest for weekly/monthly models

Measure HF LF NW NW/LF PORT POINT

Q-stat 2.356 2.446 2.352 2.355 2.401 2.367
Variance Ratio 1.035 1.034 1.010 0.995 1.000 0.997
MAD 0.211 0.254 0.204 0.206 0.244 0.206
Q-stat (CSV) 2.352 2.369 2.350 2.342 2.355 2.357
Variance Ratio (CSV) 1.000 1.014 1.001 1.002 1.008 1.016
MAD (CSV) 0.202 0.194 0.198 0.184 0.205 0.191

36
One-month volatility forecasts
 Volatility Forecasts versus Time
 During stable periods, all models gave similar forecasts
 During crisis periods, forecasts may differ significantly

Results: Mean Volatility vs Time

10
Current PORT
 CSV (NW/LF) technique adapted in Current POINT

Mean Volatility (%)

8 Next Generation
timelier fashion
 Increased volatility more quickly 6 NW/LF with CSV

entering a crisis
4
 Decreased volatility more quickly
exiting a crisis 2
 POINT more responsive than PORT
0
2000 2004 2008 2012 2016

Year
Lines were smoothed by
averaging 3m on each side US equity factors 37
 Cross-Sectional Variance Ratios vs Time
 During stable periods (e.g., 2012-2016) all models produced good variance ratios
 Not so during crisis periods Mean Variance Ratio vs Time
3.5
Current PORT
Results:

Mean Variance Ratio

3.0 Current POINT
Next Generation
 CSV (NW/LF) forecasts nearly 2.5
unbiased even during crisis 2.0
periods
1.5
 CSV mitigates long periods of
biased risk 1.0

 Less responsive model may take 0.5

years to adapt 0.0
2000 2004 2008 2012 2016

Lines were smoothed by

Year
averaging 3m on each side US equity factors 38
 Cross-Sectional Q-statistics vs Time
 During stable periods (e.g., 2012-2016) all models produced similar results
 Results deviate during crises Mean Q-stat vs Time
3.4
Current PORT
Results: 3.2 Current POINT
Next Generation

Mean Q-statistic
 CSV (NW/LF) produced lower 3.0
NW/LF with CSV
Q-statistics 2.8
 Q-stat reduction largest during 2.6
crisis periods
2.4
 Provides better risk forecasts
2.2
“when you need them most”
2.0
2000 2004 2008 2012 2016

Year
Lines were smoothed by
averaging 3m on each side US equity factors 39
 Global Equity Factors (Out-of-Sample)
 Data set: Global equity (V7) daily factor returns (2008-2018)
 Calibration window: 2008-2012
 Out-of-sample test period (02/2012 to 04/2016)
 CSV did not reduce Q-stat very much for global factors
 CSV technique reduced the MAD slightly for all models
 NW/LF with CSV performed almost the best by Q-stat, and performed
almost the best by MAD
Measure HF LF NW NW/LF PORT POINT
Q-stat 2.435 2.401 2.396 2.369 2.380 2.376
Variance Ratio 1.135 1.042 1.086 1.049 1.029 1.051
MAD 0.268 0.203 0.230 0.203 0.229 0.210
Q-stat (CSV) 2.414 2.397 2.395 2.374 2.377 2.380
Variance Ratio (CSV) 1.021 1.024 1.021 1.022 1.021 1.021
MAD (CSV) 0.243 0.192 0.219 0.196 0.219 0.201

40
One-month volatility forecasts
 Summary
 Q-statistics provide a reliable tool for evaluating the accuracy of risk forecasts and for
calibrating model parameters
 Serial correlation can be ignored when the observation frequency matches the
prediction horizon
 When using high-frequency data to forecast over a longer horizon, serial correlation
must be taken into account
 Newey-West explicity includes the serial-correlation adjustment
 Low-frequency approach automatically incorporates the effect
 CSV technique can materially improve risk forecasts
 Numerous models were tested at 1d and 1m horizons
 EWMA model with CSV performed best at 1d horizon
 NW/LF blend with CSV had best overall performance at 1m horizon
 Research into other asset classes is ongoing
41
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