Tag: performance-evaluation
Concepts
- Adjusted Sharpe Ratio for Higher Moments
- Annualisation Conventions and Their Pitfalls
- The Appraisal Ratio
- Arithmetic Versus Geometric Mean Returns
- Backtest PnL Attribution
- Benchmark-Relative Versus Absolute Evaluation
- Benchmark Selection and Style Drift
- Benchmark Selection for Backtests
- Bootstrapped Confidence Bands for the Sharpe Ratio
- Break-Even Transaction Cost Analysis
- Brinson Performance Attribution
- Capacity-Adjusted Return Curves
- Cost-Adjusted Sharpe Ratio
- Building a Custom Benchmark
- Attributing a Drawdown to Positions
- Factor-Adjusted Alpha Evaluation
- GIPS Performance Presentation Standards
- Gross Versus Net-of-Cost Performance
- High-Water Marks and Fee Drag
- Hit Rate Versus Payoff Ratio
- Incremental Value Over the Existing Book
- The Jobson-Korkie-Memmel Sharpe Test
- Lo's Autocorrelation-Adjusted Sharpe
- Log Versus Simple Returns in Reporting
- Separating Luck from Skill
- Separating Manager Skill From Luck
- Why Maximum Drawdown Is a Noisy Statistic
- Regression to the Mean
- Comparing Strategies at Equal Risk
- Rolling Performance Windows and Stability
- Spanning Tests for New Strategies
- Subperiod Decomposition of Returns
- Tail Ratio and Gain-to-Pain Ratio
- Time-Weighted Versus Money-Weighted Returns
- Trade-Level Versus Portfolio-Level Metrics
- Turnover-Adjusted Alpha
- Ulcer Index and the Pain Ratio