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ricko


Total Posts: 74
Joined: Apr 2010
 
Posted: 2019-06-05 18:33
An article I ran across in another forum discussing AlphaQuest performance raised some questions about the viability of trading tail risk versus the outperformance of the benchmark being due to luck.

What do you think about the bootstrap method used to evaluate the potential edge?

Thanks in advance for the replies.

Here is the article link

rickyvic


Total Posts: 187
Joined: Jul 2013
 
Posted: 2019-06-12 13:36
Not good to make decisions on that base, bootstrapping does not really tell you much more from what you can see from the chart.
I normally base my analysis on what are the factors driving the returns, disect it and see if they do something dum like being long credit risk or short volatility, long carry, or they are doing something that would like to have in your portfolio, bacause it diversifies.
For CTAs it is more complex if they are diversified in many asset classes.

"amicus Plato sed magis amica Veritas"
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