The benchmark tag has no wiki summary.
18
votes
3answers
622 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 ...
11
votes
2answers
418 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 ...
8
votes
1answer
342 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 ...
3
votes
2answers
288 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 ...
3
votes
1answer
112 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 ...
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
105 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 ...
