The traditional approach of portfolio benchmarking was developed by Markowitz (1952) with his Mean-Variance (M-V) model. The emergence of Capital Asset Pricing Model (CAPM), however, led to the introduction of indices provided by Sharpe (1966), Treynor (1965) and Jensen (1968). Nevertheless,...

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making investment decisions. This paper attempts to provide a brief theoretical explanation with examples on determining the returns and associated risk of shares, and of the portfolio of...

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

We examine whether time-variation in the profitability of momentum strategies is related to variation in macroeconomic conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies deliver economically large and statistically...