How does [TEST] handle the asynchronicity of global markets (e.g. Japanese equity market closes while US equity markets are still open)?
global markets close
Written by Anna German
Updated over a week ago
Rev. Date May 30, 2019
For the factor returns, we use overlapping weekly returns to minimize the impact of market asynchronicity. We previously explored more sophisticated techniques (e.g. predictive PCA), but found that the complexity offered little added value.
This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.
![[Test] Help Center](https://downloads.intercomcdn.com/i/o/405107/18c57828329f83a980a9c539/e3e473988886bb98e42bcfa567e0aeda.png)