In-depth, expert analysis on the changing landscape of investments around the world. Leading asset managers reports uncover trends, highlight changes and consider future strategic impact.
With a "zoo" of risk factors being proposed for smart beta or asset allocation purposes, how can we discern which factors are actually likely to persist in the future? Jason Hsu suggests that practitioners and academics now run so many backtests that the traditional t-statistic of 2 is no longer sufficient to validate a strategy. Instead the t-statistic required should be adjusted to allow for the quantity of data-mining that is happening.
Company: Research Affiliates
Date added: 05-10-2015
Sector: Briefing - Investment