Methodology

December 2, 2025 Each month we publish a 100+ page report for each individual VecViz volatility and expected return related features so that we can readily answer any of the following common concerns about summary performance stats: Quant Feature Quant Feature Eval Criteria Common Concerns: Expected forward return 1) correlation to forward returns2) interquartile range

December 2, 2025 Regimes help model builders differentiate market behavior into more stationary (and hence predictable) groupings. Regimes are commonly defined in terms of levels or growth rates in macroeconomic variables and market indices. Research on regime based models dates back at least to 1989. Here we discuss a regime framework built around the thesis

December 2, 2025 Correlation measured using trailing returns is volatile and backward looking Many investors measure diversification via historic return correlation, which is itself correlated to volatility. When incorporated into portfolio risk metrics such as VaR, it can encourage selling amidst panics and buying amidst complacent booms. VecEvent based correlation is more stable and very

December 2, 2025 Correlation based on historic returns is arbitrarily calculated and ignores price context How long should the lookback window be? What periodicity of returns should be used? Such questions confront anyone using Pearson correlation of historic returns to estimate portfolio risk. Results can vary significantly depending on the choices made. What doesn’t matter