Time series momentum :
a Monte Carlo approach /
Enoch Cheng, University of Colorado, Clemens Struck, University College Dublin.
| Main Creator: | |
|---|---|
| Contributors: | |
| Summary: | This paper develops a Monte-Carlo backtesting procedure for risk premia strategies andemploys it to study Time-Series Momentum (TSM). Relying on time-series models, empiricalresidual distributions and copulas we overcome two key drawbacks of conventional backtestingprocedures. We create 10,000 paths of different TSM strategies based on the S & P 500 and across-asset class futures portfolio. The simulations reveal a probability distribution which showsthat strategies that outperform Buy-and-Hold in-sample using historical backtests may out-of-sample i) exhibit sizable tail risks ii) underperform or outperform. Our results are robust tousing different time-series models, time periods, asset classes, and risk measures. |
| Format: | Book |
| Language: | English |
| Published / Created: |
Dublin :
UCD School of Economics, University College Dublin,
March 2019.
|
| Series: | Working paper (University College, Dublin. Centre for Economic Research) ;
no. 19/06. |
| Subjects: | |
| Notes: | Includes bibliographical references. Physical description: 42 pages : graphs ; 21 cm more |
| Call Number | View In | Collection |
|---|---|---|
|
Z3696 |
Offsite |
Books |