Registered: Aug 2012
08-20-12 02:23 PM
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 (monthly) returns from these trading strategies, against DJUBS Commodity Index as bench-mark.
If I set my Beta to be monthly (in line with my monthly returns) I get very interesting Alpha values.
But I am worried my investor customers will question me on my Betas being different across months. (Theoritically there is no such thing as a seasonal Beta). This is my problem.
But the outcome of my trading strategies will be different in Summer and Winter seasons as the prices of commodities being traded in my strategies, are affected by seasonal temperature/weather. Therefore to capture the impact of these effects, my returns remain monthly and I in square one.