Revisiting Shrinkage: Covariance Matrix Estimation in the Modern Age

May 12, 2023 · Viewpoint Investment Partners

One of the great truisms in modelling is “garbage in, garbage out.” In few places is that more important than in financial modelling.

Important information. This article is provided for general information only, is current as of the date of publication, and is subject to change without notice. It does not constitute investment, legal, or tax advice, an offer to sell, or a solicitation of an offer to buy any security or service, and should not be relied upon in making an investment decision. Any reference to a specific security, sector, or fund is for illustration and is not a recommendation. This article may contain forward-looking statements, which are not guarantees of future performance and are subject to risks and uncertainties that could cause actual results to differ. Past performance is not indicative of, and does not guarantee, future results.

Where this article references Viewpoint's pooled funds: commissions, trailing commissions, management fees, and expenses all may be associated with investment fund investments; please read the relevant offering documents before investing; the funds are not guaranteed, their values change frequently, and past performance may not be repeated. See our Disclosure & Terms for further information.