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How does Venn handle the asynchronicity of global markets (e.g. Japanese equity market closes while US equity markets are still open)?
How does Venn handle the asynchronicity of global markets (e.g. Japanese equity market closes while US equity markets are still open)?

global markets close

Anna German avatar
Written by Anna German
Updated over 5 years 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.

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