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Uncorrelated Investments Show with Prof. Thomas Schneeweis

Feb 13 2013 1 Comment
This video touches on a controversial topic in alternative investing: Can an algorithm capture the “alpha” of the individual hedge fund manager with no other information than past returns?

In this interview, alternative investment academic and algorithm developer Thomas Schneeweis makes the case that a certain portion of manager alpha can be reverse engineered by considering nothing other than past returns. One key is understanding how returns are correlated with market environment and then noting performance. Mr. Schneewei ...more

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