Well stated, folkherO. Thanks for that succinct explanation of why backtesting is very unlikely to persist for sector/factor/predictor funds.But to believe that the premia will persist in the future, whatever explanation you choose to support your belief has to be persistent despite changes in the market over time. The market as a whole "knows" everything you do about factors and can price that knowledge in. I think that's what Chen talks about in this interview about how the market has become more efficient over time:
Statistics: Posted by dogagility — Wed Aug 07, 2024 5:08 pm — Replies 81 — Views 9139