Performance Analysis Of Investment Strategies Pitfalls And Surprises
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Performance Analysis of Investment Strategies - Pitfalls and Surprises
Author | : Peter Scholz |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
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Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance is measured. Firstly, we will discuss the role of backtests and show that this instrument -- even when used carefully and skilled -- may lead to biased and misleading results. Secondly, we give an example that the concepts of performance and forecast power must be strictly distinguished. Finally, we demonstrate that implementation details, while largely neglected, may strongly impact and bias a strategy's performance.
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