This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

-sloping term structure of skewness risk and upward-sloping term structure of kurtosis risk, moreover the term structures connected … to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics …