Fabrice Perez

Clear Alpha Limited

Orega Hammersmith

3 Shortlands

London, W6 8DA

United Kingdom

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Scholarly Papers (1)

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Quantifying Backtest Overfitting in Alternative Beta Strategies

Journal of Portfolio Management Vol. 43, Nr. 2 (Winter 2017)
Posted: 02 Apr 2016 Last Revised: 07 Apr 2017
Antti Suhonen, Matthias Lennkh and Fabrice Perez
Aalto University School of Business, Clear Alpha Limited and Clear Alpha Limited

Abstract:

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Alternative beta, Smart beta, Risk premia, Risk factor, Factor investing, Trading strategies, Index strategies, Investment strategies, Quantitative investment strategies, QIS, Sharpe ratio, Backtest, Overfitting, Data mining, Multiple test