The Right Thing, Not the Easy Thing
New entrants into the field of systematic investing must look for ways to differentiate themselves. Impressive backtested performance is one way to stand out. But are these backtests robust? Are they likely to withstand the challenges of real-world implementation? Historical returns can be noisy, and even small changes to how an experiment is run can produce very different outcomes. While it is easy to find exciting results in a backtest, we believe the right thing to do is to evaluate these findings using a comprehensive research framework and determine whether the discoveries are truly new and can benefit investors going forward.
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