Research and publications
Tail Risk Of Smart Beta Portfolios: An Extreme Value Theory Approach
This paper studies the in-sample extreme risk of smart beta portfolios using the GARCH-EVT model. To validate the in-sample approach, we back-tested the methodology on smart beta indices constructe ...
Author(s):
Lixia Loh, Stoyan Stoyanov
Summary:
This paper studies the in-sample extreme risk of smart beta portfolios using the GARCH-EVT model. To validate the in-sample approach, we back-tested the methodology on smart beta indices constructed from long-term US data spanning 40 years and found that the methodology is robust and reliable. The VaR- and CVaR-based tests for the case of 1% tail probability indicated that, with a couple of exceptions, the model is statistically acceptable for all portfolios for both the left and the right tail.
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Register/Log in| Type : | EDHEC Publication |
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| Date : | 07/07/2014 |
| Keywords : |
Indexes & Benchmarking |
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