Essays about: "Back-testing"

Showing result 6 - 10 of 20 essays containing the word Back-testing.

  1. 6. En ny metod för test av infraröd belysning inom produktion

    University essay from Lunds universitet/Högskoleingenjörsutbildning i datateknik

    Author : Marcus Christensson; Alex De Vincenzo; [2018]
    Keywords : sensor; ir; infrared; light; transducer; production test; test; infrarött. ljus; produktionstest; signalbehandling; Technology and Engineering;

    Abstract : The purpose of this thesis is to improve the current method of testing infrared lighting within Axis security cameras. The current method must be designed for each type of camera, is also large, unwieldy, and takes up a significant amount of floor space which could be better utilized. READ MORE

  3. 7. Value investing; A quest for alpha in the Nordic region - Back-testing the strategies developed by Joel Greenblatt and Joseph Piotroski

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jonas Wahlström; Alfons Jagut; [2017]
    Keywords : Value Relevance of Accounting Measures; F-Score; MFI; Value Investing; Fama French s three-factor model;

    Abstract : This thesis evaluates the performance of the Magic formula and F-score. The investment strategies are applied to the entire Nordic region over the period of 2005-2015 and the returns evaluated using the CAPM and Fama & French's three-factor model. READ MORE

  4. 8. Predictability of Mutual Fund Performance - Evidence from the Swedish Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Stefano Pagliani; Philipp Oliver Rusch; [2017]
    Keywords : Performance Prediction; Investment Decisions; Mutual Fund Performance;

    Abstract : This paper studies the out-of-sample performance of three established mutual fund performance predictors in Sweden. Our study draws inspiration from the work of Jones and Mo (2016). We analyse the momentum, back testing and selectivity predictors, based on previously introduced methodologies, as well as our own revised approaches. READ MORE

  5. 9. Measuring Financial Risks by Peak Over Threshold Method

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bing Zhang; [2016]
    Keywords : Extreme Value Theory; Peak Over Threshold; Value at Risk; Expected Shortfall; Back-testing; GARCH 1; 1 ; Business and Economics;

    Abstract : Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. READ MORE

  6. 10. Risk Managed Time Series Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sutian Ming; Richard Eidestedt; [2015]
    Keywords : momentum crash; time series momentum; time-varying risk; optionality;

    Abstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE