Hi all, Lets say you have a basket of strategies: A, B, C, D A is really high frequency, based on real-time tick data; B is mid frequency, based on 30min bars; C is low frequency, and daily, every day, at End of Day, you might or might not have some trades; D is ultra low frequency, somewhat weekly, and indeed it's event-driven. So if you look at daily pnls, this strategy has a lot of zeros as daily pnls. How do you calculate the correlations among these strategies? Furthermore, how do you do portfolio optimization? I am trying to renovate the traditional "mean-variance" portfolio optimization ... but didn't get any meaningful results at all. Your thoughts are highly appreciated! Thanks!