Portfolio Analytics

Overfitting

Definition

What is Overfitting?

Designing a model so closely around past data that it performs poorly on new data.

Example in practice

A strategy with dozens of tuned rules excels in backtests but fails in live markets.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

Think you know your investing terms?

Put your knowledge to the test with a quick quiz.