A Strategy-Proof Test of Portfolio Returns.
Traditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test. This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative positio...
| Principais autores: | , |
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| Formato: | Working paper |
| Idioma: | English |
| Publicado em: |
Department of Economics (University of Oxford)
2011
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| _version_ | 1826276524690505728 |
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| author | Young, H Foster, D |
| author_facet | Young, H Foster, D |
| author_sort | Young, H |
| collection | OXFORD |
| description | Traditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test. This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative positions, because standard tests of significance can be ‘gamed’ using options trading strategies. To deal with this problem we propose a test that assumes nothing about the structure of returns except that they form a martingale difference. Although the test is conservative and corrects for unrealized tail risk, the loss in power is small at high levels of significance. |
| first_indexed | 2024-03-06T23:15:16Z |
| format | Working paper |
| id | oxford-uuid:66e920c1-6bf6-4ba8-a91d-20c50c85b2d0 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:15:16Z |
| publishDate | 2011 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:66e920c1-6bf6-4ba8-a91d-20c50c85b2d02022-03-26T18:34:49ZA Strategy-Proof Test of Portfolio Returns.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:66e920c1-6bf6-4ba8-a91d-20c50c85b2d0EnglishDepartment of Economics - ePrintsDepartment of Economics (University of Oxford)2011Young, HFoster, DTraditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test. This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative positions, because standard tests of significance can be ‘gamed’ using options trading strategies. To deal with this problem we propose a test that assumes nothing about the structure of returns except that they form a martingale difference. Although the test is conservative and corrects for unrealized tail risk, the loss in power is small at high levels of significance. |
| spellingShingle | Young, H Foster, D A Strategy-Proof Test of Portfolio Returns. |
| title | A Strategy-Proof Test of Portfolio Returns. |
| title_full | A Strategy-Proof Test of Portfolio Returns. |
| title_fullStr | A Strategy-Proof Test of Portfolio Returns. |
| title_full_unstemmed | A Strategy-Proof Test of Portfolio Returns. |
| title_short | A Strategy-Proof Test of Portfolio Returns. |
| title_sort | strategy proof test of portfolio returns |
| work_keys_str_mv | AT youngh astrategyprooftestofportfolioreturns AT fosterd astrategyprooftestofportfolioreturns AT youngh strategyprooftestofportfolioreturns AT fosterd strategyprooftestofportfolioreturns |