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...
| मुख्य लेखकों: | , |
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| स्वरूप: | Working paper |
| प्रकाशित: |
University of Oxford
2011
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| _version_ | 1826290361298845696 |
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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 | 2024-03-07T02:43:01Z |
| format | Working paper |
| id | oxford-uuid:ab1a6202-6e93-4364-aecb-24f01fe38e7f |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:43:01Z |
| publishDate | 2011 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:ab1a6202-6e93-4364-aecb-24f01fe38e7f2022-03-27T03:19:38ZA strategy-proof test of portfolio returnsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:ab1a6202-6e93-4364-aecb-24f01fe38e7fBulk import via SwordSymplectic ElementsUniversity of Oxford2011Young, 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 |