The benchmark tag has no wiki summary.
2
votes
0answers
78 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
104 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 ...
