We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in
presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill …

As highlighted by the recent market turmoil following COVID‐19, markets can experience
significant retracements or drawdowns. While these recent market moves have definitely …

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample
Performance Page 1 Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest …

With the advent in recent years of large financial data sets, machine learning and high-
performance computing, analysts can backtest millions (if not billions) of alternative …

The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-
Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns …

Many investment firms and portfolio managers rely on backtests (ie, simulations of
performance based on historical market data) to select investment strategies and allocate …

Multivariate statistical analysis relies heavily on moment assumptions of second order and
higher. With increasing interest in heavy-tailed distributions, however, it is desirable to …

We introduce a framework for strategic asset allocation with alternative investments. Our
framework uses a quantifiable risk preference parameter, λ, instead of a utility function. We …

The global financial meltdown has led to a renewed focus on the purposes of securities
regulation and on the expansion of these purposes to include considerations of systemic …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …