Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns
15 Pages Posted: 2 Sep 2016 Last revised: 3 Sep 2016
Date Written: August 31, 2016
Standard quantitative portfolio analysis techniques, including mean-variance analysis, historical risk and performance estimation, and various portfolio optimization techniques, implicitly require all assets under consideration having the same length of return histories. Unfortunately, it is often the case that certain assets have shorter return histories than others. We present a method, which is a significant improvement over an existing technique, for efficiently backfilling missing returns while accounting for non-normal distributions.
Keywords: Short/Unequal Return Histories, Backfilling Returns, Non-Normality
JEL Classification: C13
Suggested Citation: Suggested Citation