Testing the Returns from Black-Box Hedge Fund

Add to your list(s) Download to your calendar using vCal

• Peyton Young, University of Oxford
• Tuesday 19 February 2013, 17:00-18:00
• Barbara White Room, Newnham College.

If you have a question about this talk, please contact Sheryl Anderson.

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.

This talk is part of the Cambridge Finance Workshop Series series.

This talk is included in these lists:

• All Talks (aka the CURE list)
• Barbara White Room, Newnham College
• CERF and CF Events
• Cambridge Finance Workshop Series
• Cambridge Judge Business School
• Interested Talks

Note that ex-directory lists are not shown.