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Backtest | Portfolio Yoga

Portfolio Yoga

Building Wealth | Building Relationships

Tagged: Backtest

0

Opinion

Worst Rank Held – Return Variations

In Momentum strategies, one of the ways to reduce churn is to implement a worst rank held strategy. Let’s assume that the strategy picks the top 30 stocks. In the coming month if one of the stocks that is currently part of the portfolio (previous month being ranked in the top 30) is now ranked 31? Should you remove the...

1

Asset Allocation

Backtesting Asset Allocation

Asset Allocation is the cornerstone of every investor. A good asset allocation is something that allows you to comfortably sleep at night. A bad asset allocation on the other hand gives you heartaches with higher volatility while not exactly meeting your goals either. When it comes to basic asset allocation, you can go in two ways – the fixed method...

0

Factor Investing

The Value of a Back-Test and Momentum Investing

I recently saw the reality sitcom “Shark Tanks” {Season 10 is available on Amazon Prime}. As an entrepreneur, this is an amazing show highlighting the tough path of bringing an idea to reality. While I kind of dislike the behavior of the Sharks who act pretty cruel, this being television and if they are really investing real money, they have...

Hypothetical performance and real world problems 2

Uncategorized

Hypothetical performance and real world problems

Recently, a US based fund – F-Squared Investments was in the news for “falsely advertised a successful seven-year track record for the investment strategy based on the actual performance of real investments for real clients”. Even the hypothetical results they provided via a back-test of the investment strategy was bumped up due to a error in the way it was...