UBS partners with LGT on ‘tricky’ Vix futures QIS
Swiss bank aims to avoid ‘backtest Olympics’ for strategies at risk of overfitting
UBS has teamed up with LGT Capital on new quantitative investment strategies (QIS) linked to Vix futures. The partnership aims to eliminate reliance on retrofitted backtests by capitalising on a decade-long live history.
The partnership comprises a dynamic protection strategy, which is net long Vix futures, and a carry-orientated systematic macro strategy that is net short volatility. Both are
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