Questions tagged [statistical-significance]
The statistical-significance tag has no usage guidance.
36 questions
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Is the stock market disentangled with the economy?
Regressing the Equity Premium against Macroeconomic Variables
Long story short, I was performing a linear regression on the explanatory power of the GDP and/or the GDP growth rate (independent ...
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Adjusting the p-value of a strategy for number of parameters
Let's say I have some metric and I'm trying to evaluate whether it's predictive with respect to returns. I plan to only take trades where the value of the metric is above a certain threshold, such ...
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Test significance for information ratio
Suppose that we have an estimated Information Ratio $IR^*$ calculated from the relative returns between a portfolio and a benchmark.
I am looking for a way to quantify the uncertainty of this ...
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How to identify daily returns as an unusual daily return given a dataset
I am currently calculating daily returns of a stock with the following formula:
$$R_t = \frac{P_t - P_{t-1}}{P_{t-1}}$$
However, once I have the data, I am unable to establish a range to classify the ...
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Normalized statistical risk/reward measures to compare different quant trading strategy's returns, eg for backtesting
Want to select a metric or metrics to compare returns of different investment strategies, for quantitative backtesting, strategy selection, and forward measurement.
Been reading different approaches ...
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how to derive t-statistic for alpha (Eq. 15.29) in "quantitative equity portfolio management"?
I am reading "quantitative equity portfolio management: an active approach to portfolio construction and management" by Ludwig B. Chincarini, Daehwan Kim, and am confused by this derivation ...
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How to test the difference between samples of sharpe ratios
I am testing the performance difference between 2 portfolio strategies. I use Monte Carlo simulation in R to generate $N$ simulations of portfolio returns for each strategy. I then compute the Sharpe ...
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CAPM alphas have unexpected p-value distribution
I am trying to "test" whether the EMH holds by testing for every stock in the S&P 500 whether it has a "significant" CAPM alpha.
If the EMH is true, then the null-hypothesis (...
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question about significance level
A case study in a exam material goes like this:
"Assume that the bank reports a daily VAR of \$100 million at the 99% level of confidence. Under the null hypothesis that the VAR model is ...
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Pearson correlation significance : Issue with $t$-statistic increasing with $N$
I have two assets which seem not correlated (correlation coefficient = 6.3% using monthly frequency and 48 data points).
I want to test the significance of the correlation. Null hypothesis is that ...
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Should Fama-French coefficients be calculated with daily or monthly returns?
I noticed when I regress the return of a portfolio on the Fama French 3 factor model that the value and the statistical significance of the coefficients vary when I use daily versus monthly portfolio ...
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Does the default rate follow normal distribution or binomial distribution?
I'm quite confused about the distribution of default rate.
I understand the default can be seen as from binomial distribution
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Representing relative stock price predictions in portfolio optimization
I wanted to ask a simple question in representing mathematical concepts/terms into the portfolio optimization utility functions.
I have never worked with these in production environment so I am very ...
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321
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Statistical significance of mean returns between two portfolios
Suppose I have developed two versions ($A$ and $B$) of a factor model for ranking stocks. Both versions of the model use the same scoring system: stocks are percentile ranked within a given universe ...
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N Needed for Statistically significant tracking error
Let's say I have the tracking error calculation for a portfolio:
How would I determine the N-obervations required for a statistically significant tracking error? Alternatively, how would I determine ...
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Test statistic of event study
Following the event study paper USING DAILY STOCK RETURNS The Case of Event Studies
let us suppose that I have daily stock returns for 50 companies from the date 2012-01-01 until 2014-01-01. and I ...
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how to I get the statistical significance of a backtested result
If I have a simple long/short value strategy (say long stocks with high e/p and short stocks low e/p or any other parameter) rebalanced monthly, and a look back window of say 15 years. How do I ...
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How to count [and report] the values of significance at 1% and 5%?
I am slightly confused with this:
I have calculated the Chi square for the number of funds and the methods description tells me that if the values I have calculated are greater than 3.84 (6.64) that ...
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Does historical backtest data mean anything? [closed]
Sorry for this being a basic question.
If I take a stock’s historical data and check for some rule I have found to buy/sell = what happened if I bought and sold this stock according to this rule in ...
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Assessing goodness of a Technical Trading Rule using a ROC model
I am testing various technical trading rules (TTR) on the cryptocurrency market.
I have already setup some significance tests, to compare the returns and volatilities.
I would now like to test it ...
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Can the dependent samples t test be used for this problem?
Short story:
I have 2 sets of data:
Set 1: Vector with daily data of stock market returns (eg. [1%, 1.2%, -2%])
Set 2: That vector of stock market returns, multiplied by another vector (eg. [2%, 0....
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Evaluate the significance of the relationship among VIX and the S&P 500
I have the weekly time series of returns for both VIX and S&P 500.
For the VIX I'm looking at 1 week return period (e.g. this is a 5 day return series rolling weekly)
For the S&P 500, ...
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Trading rules: Controlling the portfolio FDR+ level
I'm trying to apply the FDR+ (False Discovery Rate +) methodology from Bajgrowicz (2011) link another_link. I have computed the p-values with the stationary bootstrap as they did, however I am not ...
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Average Return Differential Calculation - Newey West t-Statistic
I am reading Table II on page 28 in Bali et al. (2007), Value at Risk and the Cross-Section of Hedge Fund Returns:
Please can anyone explain the calculation of t-statistic and Newey West t-statistic ...
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R squared statistic in predictions of returns
My question is related to an article which use predictive linear regression for the stock returns. There is told that R squared statistic of 1.6% is high. How can we measure which R squared is high? I ...
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Proper Definition of Backtesting Parameter
Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
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What is a good statistical test on stock prices to indicate a company's value has changed?
My current test is to take monthly proportional price changes for stock XYZ and subtract out the proportional changes of the S&P500. Then compare the mean of a sample of XYZ-S&P (e.g. trailing ...
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The use of $p$-value in finance after the recent statement of ASA (American Statistical Association)
The ASA (American Statistical Association) has just released a statement about the misuse of $p$-value. Will this action have much effect on the use of $p$-value in finance?
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Significance testing of average returns from Sharpe ratio
I'm aware that one way to do significance testing on a strategy is based on the sampling distribution of its Sharpe (see, e.g., Lo, 2002 and Opdyke, 2008).
However, it appears to me that there's ...
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Variable becomes more significant when more variables are included
I do some empirical research. I typically use regression analysis and panel data econometrics (with fixed effects).
Usually, when I include more variables, the initial variables of the model become ...
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Compare performance buy-and-hold strategies after stock-split
QUESTION:
How should I analyze the statistical significance of the difference between two buy-and-hold strategies (or the relative performance) when the samples are not independent?
Background:
I ...
user15050
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Kolmogorov-Smirnov test for Generalized Pareto Distribution
I've fitted my data to a generalized pareto distribution as to model the returns in the tails more accurately. The interior is fitted with kernel distributions.
I would like to now test whether the ...
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340
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Testing Statistical Significance of Various Portfolio Simulations
I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing:
What problems are there ...
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Compare fund managers with insignificant alphas?
For my thesis I am evaluating two mutual fund portfolios in order to check for differences in manager performance. My hypothesis is that there will be no differences in performance (in terms of alpha) ...
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Statistical Power and Active Management
I was reading an article recently that pointed out the dangers of using statistical inference in evaluating active managers as the power of statistical tests diminishes with the variance of the ...
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How to statistically compare the pricing errors of various option pricing models?
I have three different option pricing models, for which I computed the in-sample and out-of-sample pricing errors.
Now I want to test the pricing performance of these three option pricing models ...
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