Articoli con tag : backtest

The Pitfalls of Back Testing

A cura di Jack Forehand, Validea Capital Active investment managers have a pretty dismal long-term record. Depending on which study you look at somewhere between 80% and 90% of managers underperform their benchmarks over the long-term net of fees. But what if I told you there was a way to turn those ...

Looking at Alternatives? Avoid Complexity and Magical Backtests

A cura di Elisabetta Basilico, PhD, CFA Quantifying Backtest Overfitting in Alternative Beta Strategies Annti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic finance papers? Che ...