The performance-evaluation tag has no wiki summary.
2
votes
1answer
70 views
Risk-free rate for ex-post evaluation of investment strategy
When evaluating the strategy ex-post using e.g. Sharpe ratio, what should one use as the risk-free rate? Let's suppose I am using a 1Y sample of weekly returns, sampled between 2012-01-01 and ...
2
votes
1answer
96 views
t-statistics for the mean return, using Newey-West standard errors
I have seen that in several papers, where the aim was to evaluate the performance of a certain investment strategy, they use t-statistics to test for significance in the results. However, this seems a ...
3
votes
2answers
309 views
Computing the Sharpe Ratio
The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown quantities that must be estimated statistically and are subject to estimation error.
The main problem I have is ...
2
votes
1answer
284 views
Using alpha to evaluate trading strategy
I have a trading strategy that generates returns $R_{t}$. I want to test the strategy by looking at the alpha:
$R_t - R_{f,t} = \alpha + \beta (R_{m,t} - R_{f,t}) + e_t$
I compare my alpha against ...
2
votes
2answers
289 views
performance attribution
I am trying to do some performance attribution for a few portfolios we manage. What I am trying to examine are three different sources of returns:
The general asset allocation
Security Selection
The ...
8
votes
0answers
182 views
Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis
I want to know if there are some standardized measures to evaluate how irrationally human a portfolio manager is. Are there any performance measures or scorings for behavioral finance effects? How ...
9
votes
6answers
2k views
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
2
votes
3answers
409 views
How to annualize dividends paid at varying intervals?
I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
3
votes
1answer
402 views
What does leverage cost?
Let's say I've developed a strategy that always outperforms the S&P-500, let call it the "magic strategy".
Now I should be golden. All I need is to always have the S&P shorted with the same ...
22
votes
10answers
3k views
Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Fund managers are acting in a highly stochastic environment. What methods do you know to systematically separate skillful fund managers from those that were just lucky?
Every idea, reference, paper ...
