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Active Strategy (B) Returns Analysis
| Attachment | Size | |
|---|---|---|
| Excel Workbook |
Strategy B is a small-Cap equity portfolio. In this study, we employ econometric techniques to explore whether the returns themselves have any predictive information of future returns/volatilities.
Trader B agreed to share his startegy realized returns to conduct our analysis and post it on this forum. The data and the analysis are available in the attached spreadsheet (available for registered users).
Data
The data series covers monthly returns between December 1998 to December 2008. We have a total of 120 data points.
Source: <see attached spreadsheet>
Preliminary Analysis
Note: The graph above suggests a constant conditional mean (black line), and time varying conditional varian.
Examining the descriptive statistic of the sample data and conduct tests for serial correlation (versus white-noise), normality distribution and ARCHi effect.
The descriptive statistics shows insignificant mean, symmetrically distributed returns, but significant excess kurtosis. Interesting enough, the normality test using 2 methods (JB and WS) suggests normal distribution, but the ARCH effect is significant.
