Long-short equity portfolios: performance evaluation of multi-dimensial strategies
Bibliographic entry
Zarubina, N. Long-short equity portfolios: performance evaluation of multi-dimensial strategies / N. Zarubina // Экономика строительного комплекса и городского хозяйства [Электронный ресурс] : материалы международной научно-практической конференции, (Минск 3-6 декабря) / редкол.: Т. Н. Водоносова [и др.]. – Минск : БНТУ, 2019. – С. 367-378.
Abstract
The main objective of the research is to estimate the backtested performance of multidimensional equity long-short strategies, which were constructed based on a combination of different signals (fundamental indica-tors). An evaluation of performance is conducted using the appropriate t-tests (derived by Novy-Marx, "Backtesting Strategies Based on Multiple Signals" [2015]) by estimating the statistical significance of the backtested average weekly returns for both the EU and US markets. The data set includes weekly stock prices of 2 553 firms for the period January 1990 to November 2015 for the US market and January 2000 to November 2015 for the EU market. The obtained results show that the combinations of signals provide statistically significant results for 1 out of 48 portfolios (under the assumption of zero transactions costs).