In-Sample vs. Out-of-Sample

In-Sample vs. Out-of-Sample

The difference between an in-sample analysis and an out-of-sample analysis lies in the way that the rolling window Style Benchmark is calculated. In the one window case, the Style Benchmark is simply the composite series

S = x1C1 + x2C2 + ... + xNCN

where C1, ... , CN are the index series and x1, ... , xN is set of corresponding style weights.


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