2024/08/18 by Maysam Khodayari Gharanchaei, Gharanchaei, Maysam Khodayari, Reza Babazadeh +1
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2409.14510
openalex publication_date 2024/08/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of 1,000 floating stocks in the US market. Utilizing five different investment strategies, these models are tested across four periods, encompassing the last three major financial crises: The Dot Com Bubble, Global Financial Crisis, and Covid-19 market downturn. Backtests leverage the CRSP dataset from January 1990 through December 2023. The results demonstrate that the proposed models consistently outperformed market excess returns across all periods. These findings suggest that the developed risk models can serve as valuable tools for asset managers, aiding in strategic decision-making and risk management in various economic conditions.