Questions tagged [performance-evaluation]

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Understanding out-of-sample performance metrics for Realized Volatility

I fitted several models on a realized volatility process and then proceeded to obtain out-of-sample results. I'm struggling to interpret these results apart from to tell model A seems better than ...
s5s's user avatar
  • 452
29 votes
11 answers

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 ...
vonjd's user avatar
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5 votes
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ES not elicitable

Expected Shortfall is not elicitable as some papers have pointed out. That simply means that there is no scoring function that elicits ES. My question is, does this imply that Expected Shortfall ...
Eren's user avatar
  • 73
22 votes
2 answers

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 "...
vanguard2k's user avatar
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13 votes
2 answers

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 ...
user4796's user avatar
  • 131
4 votes
1 answer

How to calculate the Sharpe ratio for market neutral strategies?

Suppose I am long one stock and short an index in a ratio effectively making market beta as zero and I close the position with some positive P&L. How should I calculate the return for the ...
sigirisetti's user avatar
3 votes
1 answer

What is an accepted method to calculate percent PnL from a short position?

Calculating the normalized (e.g., percent or logarithmic) return on investment on a long (equity, call option, etc...) position is fairly simple. The percent return on investment for any position ...
David Addison's user avatar
2 votes
3 answers

Is there a python library to generate performance metrics from returns of the strategy?

I am backtesting a strategy and have data generated from the returns of the strategy. Now I need performance metrics like maximum drawdown, Sharpe ratio, Treynor measure etc., I am writing functions ...
Quantum Dreamer's user avatar
2 votes
0 answers

kalman filter for a multifactor model in R

I am trying to set up a time varying factor model for the purpose of return decomposition via kalman filter. Following this example and slightly modifying it so as to accommodate for more than one ...
sen_saven's user avatar
  • 441
2 votes
4 answers

How likely it is that a strategy profits are explained by luck?

I want to evaluate a trading strategy. My goal is not to compare it with other strategies, but rather to determine how likely it is that the profits are generated from the strategy itself rather than ...
David's user avatar
  • 145
2 votes
1 answer

Annualising Data

I have a 3 year performance track record of monthly returns. I am trying to calculate the Sortino Ratio, Information Ratio, Treynor index etc. In calculating the Sharpe Ratio I have multiplied the ...
redarT's user avatar
  • 33
1 vote
1 answer

How to calculate the daily rate of return for an actively traded account

I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
finstats's user avatar
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Sharpe Ratio Calculation Best Practice

For Sharpe ratio formula : $SR(s) = \frac{(x_s - r)}{\sigma_s}$ where for the time period under evaluation : $x_s$ represents the average return of the portfolio $r$ represents average return of ...
RiskTech's user avatar
  • 206
0 votes
4 answers

Multi-Period Contribution

I've read multiple research papers but can't find a good answer as to why multi-period contributions don't add up to the returns of a portfolio. I understand that arithmetic sums miss the compounding ...
QFqs's user avatar
  • 115
0 votes
1 answer

Accuracy for GARCH models

How does one calculate the accuracy of forecasts given by GARCH models considering GARCH is run on returns. Assuming GARCH is a derivative of a regression based prediction model, would regular ...
Prgmr's user avatar
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