Tag Archives: backtests

Creating a Performance Tailwind

Some stock selection schemes seem silly.  This weekend’s Wall Street Journal reports the results of two hypothetical portfolios which are clearly intended to be nonsensical.  One example, the so-called “Graham and Buffett Portfolio” comprises stocks whose ticker symbols consist only of the letters found in the names “Benjamin Graham” and “Warren Buffett.”  Silly it may sound, but Read more […]

A PIP Off the Old Block

The staff of the Financial Industry Regulatory Authority (FINRA) recently issued an opinion letter discussing the use of “pre-inception index performance (PIP)” data in communications about exchange-traded financial instruments.  Importantly, the letter permits the use of PIP data (i.e., backtested or simulated results) in presentations to institutions (although not to retail investors). No good deed Read more […]

History, Real and Simulated

Show me a man who’s never been burned by relying on a backtest and I’ll show you a man who’s never relied on a backtest at all  (either that or a fictional character).  Skepticism toward backtested results is endemic among investment professionals, and rightly so.  And yet… when a new concept comes along, backtested performance Read more […]