I am working on my dissertation and i would like to provide a nice interpretation of two tables which i will present below.

I have 10 portfolio buckets which i sort on 6 different attributes. One of these attributes is return. I take the measurement at time "t" and I proceed to simulate the investment at "t+1"

The first table represent mean and returns if the investment was to be simulated at time "t". in other words it shows my return distribution on the day i take the measurement. This is presented below:

enter image description here

As u can see bucket bucket 1 has the lowest returns on the day i take the measurement. These increase as i approach bucket 10.

Below i show you the statistics of the same 10 portfolios for the actual investment day. (t+1)

enter image description here

Stats has never been my forte. I am not asking for a full interpretation however a few pointers to get me started would be very useful.

for the curious, not accounting for insanely large transaction costs, bucket 1 generates a CAPM alpha of 29.8% a year. this perfectly decreases at we approach bucket 10.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.