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

See all articles by Yindeng Jiang

Yindeng Jiang

University of Washington Investment Management Company

R. Douglas Martin

University of Washington

Date Written: August 31, 2016

Abstract

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

Jiang, Yindeng and Martin, R. Douglas, Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns (August 31, 2016). Available at SSRN: https://ssrn.com/abstract=2833057 or http://dx.doi.org/10.2139/ssrn.2833057

Yindeng Jiang (Contact Author)

University of Washington Investment Management Company ( email )

Seattle, WA 98195
United States

R. Douglas Martin

University of Washington ( email )

Applied Mathematics & Statistics
Seattle, WA 98195
United States

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