Tagged Questions

The tag has no wiki summary.

learn more… | top users | synonyms

0
votes
1answer
29 views

Is there a broad currency index just like there is an equity market index?

I would like to assess the performance of currency traders so I was wondering if there is a broad currency index that can be used as a benchmark to assess the performance of these traders. The index ...
1
vote
1answer
54 views

How to benchmark bonds?

I am trying to find for each european bond in my database a proper Benchmark to compare them with the Bloomberg benchmarks for bonds. What i have done so far is to extract a list of all government ...
1
vote
3answers
128 views

Is there any other way to measure option pricing model performance than proximity to market prices?

Short version Why do we take market prices as the prices to be estimated and predicted? The common answer is efficient markets hypothesis as in "Market agents do their best effort given their ...
2
votes
5answers
95 views

What is the motivation for index benchmark?

I know that many funds have local index (i.e., SPX in US) as their benchmark. Why are investors interested in such kind of returns instead of absolute returns. From the first glance I'd think one ...
6
votes
2answers
265 views

How to interpret beta meaningfully?

Although this is probably a basic question, this is probably also the right forum to post it in :) I thought I understood beta, but know I am really confused... The beta between my portfolio (weekly ...
2
votes
0answers
92 views

Benchmarking risk

Given the portfolio return $R$ and the benchmark return $B$, I want to define a risk indicator, measuring the ability to beat the benchmark ($R>B$), given the downside risk taken; the latter not ...
1
vote
0answers
167 views

Backtesting benchmark / control test design

I am designing a backtesting system to test an algorithm. I'd like to have a benchmark / control test results to compare to the results of a custom algorithm. A limited "set" of stocks is selected ...
3
votes
1answer
172 views

Whare are the common Global Asset Allocation indices?

I would like to make a comparison between some multi asset class strategies and some kind of benchmark. In this situation, the classic benchmarks like MSCI World (for Equitites), GSCI (for ...
3
votes
2answers
336 views

Resources for Benchmarking Automated Trading Systems available as deltix etc.?

Is there some research resource/group working on benchmarking of software products out there with automated trading and goals of "Advanced alpha generation and execution strategies" incorporating low ...
11
votes
3answers
576 views

What benchmark/index to use for backtesting a portfolio of stock options?

What benchmark should I use for backtesting a model for when I should buy an option of a particular stock? For equities, one could say their portfolio outperformed the S&P 500. I would like to ...
18
votes
3answers
838 views

How can an ETF outperform its benchmark index?

Deutsche Bank’s ETF platform, db X-trackers, provides a rather remarkable ETF tracking Euro Stoxx 50 (which is the most widely used regional blue-chip index in Europe). What makes it remarkable is ...
8
votes
1answer
388 views

How to select/construct benchmarks for black-box trading strategies?

When faced with a black box trading strategy with extensive historical data available, how would one select/construct a representative benchmark? As a trivial example, when a strategy historically ...