Yeah of course our ML models use regime switching! if (condition) { return dot(features, coefficients1); } else { return dot(features, coefficients2); }
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This. But with a BARRA SHIT3 risk model.
Oh you use an off the shelf risk model? I guess maybe that works for you. Real heads estimate their own shitcoin factor model though 
The factor model:
corr_matrix = 0.5 * np.identity(n) + 0.5
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Haha. Bringing back memories of talking to boutique hedge fund quants at conferences when I was in wealth management. "Dude I gotta be honest, we buy in _everything_" <Look of pity / disgust>
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