'Escaping the backtesting illusion: An application of evolutionary finance' with Prof Klaus Schenk-Hoppé

Past Event

29 January 2020, 4:30pm - 5:45pm

Manor Road Building
University of Oxford, Manor Road, Oxford, OX1 3UQ

Https cdn evbuc com images 86588825 372165800243 1 original

Two tests can help asset managers to develop more robust investment strategies: an impact test and a survival test. Both tests complement the backtest where one checks how a proposed investment strategy would have performed in the past.

The impact test considers the performance of the strategy when assets under management grow (crowdedness) and it checks the impact that a growth of asset under management in competing strategies have on the proposed strategy (cross impact). The survival test considers the effect of the long-term evolution of assets under management in competition for market capital.

In the first part of Klaus Schenk-Hoppé's talk, Shiller's S&P 500 index and bond market data are used to study time-series momentum and relative dividend yield investment. In the second part of the talk, he considers factor investing where institutional investors' portfolios typically contain positions in thousands of listed companies.

This talk is organised by INET Oxford. Please register on Eventbrite or contact complexity@inet.ox.ac.uk for more information.

Prof Klaus Schenk-Hoppé
Professor of Financial Economics, School of Social Sciences, University of Manchester & Adjunct Professor, Department of Finance, Norwegian School of Economics

His current research interests include financial economics, computational economics and finance, dynamic economic theory and random dynamical systems theory.