Share Description
Back test results for all strategies in developed and emerging markets will be provided in this course. The learner will also be taught scientific methods of back testing that do not fall victim to either the look ahead (or) survival bias. You will learn how to build a robust back testing system for the strategies discussed in the previous course. You'll learn how to tell the difference between data mining and results that have a solid empirical or theoretical foundation. Following that, you will learn how to back test the results and subject the back test results to stress tests. Following that, you will learn about the various ways that transaction costs and other frictions can be incorporated into the back testing algorithm. Finally, you will be introduced to techniques for measuring strategy performance as well as the concept of risk adjusted return. You will employ well-known risk-adjusted return measures such as the Sharpe ratio, Treynor's Ratio, and Jenson's Alpha. You will learn how to select a suitable benchmark for a proposed fund.
Syllabus :
1. Strategy - Accruals
- Calculation
- Ratios
- Strategy
2. Strategy - Betting against Beta
- CAPM
- Strategy
3. Strategy - Momentum & Momentum Crashes
- Lookback period
- Strategy
- Returns
- Introduction
- Options primer
- Abstract
- Strategy
4. Strategy - G Score
- Back Ground
- Economic Intuition
- Strategy
- Numerical Example
- Closure
