Bank Stocks: A Thought Experiment

1 Aug

I’ve been exploring a few ideas lately, particularly in the area of looking into whether certain movements in the Fixed Income markets can have a meaningful impact on bank stocks.

For the purposes of simplicity, the stocks I chose are those who are involved to some degree in actively trading the instruments that I am attempting to use as explanatory variables. More on this later, but I ran a backtest of buy and old on bank stocks throughout the crisis, assuming a monthly relabancing window:

Bank Stocks Portfolio Backtest - Long Only

Static Bank Portfolio Weights

The alternative strategy, which surprised me:

Using Partial Constraints On The Portfolio

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: