Recent content by RupaR

Hi Gubo, Thank you for your response. I am interested in your 30 day rolling correlation measure. Could you please explain its calculation? I have developed different daily trading strategies. In order to be able to advocate them, I need to pull out the Jensen's Alpha to the...

How would you decide on the time frame to your Beta calculation? Specifically, if investing around Daily and Hourly commodity prices, what do you consider before estimating the Beta against any Dow Jones Commosity Index as benchmark? Thank you for your comments.