Bailey, David H.
[Verfasser:in]
;
Borwein, Jonathan
[Sonstige Person, Familie und Körperschaft];
Lopez de Prado, Marcos
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 19, 2016 erstellt
Beschreibung:
We demonstrate a computer program that designs a portfolio consisting of common securities, such as the constituents of the S&P 500 index, that achieves any desired profile via in-sample backtest optimization. Unfortunately, the program also shows that these portfolios typically perform erratically on more recent, out-of-sample data, which is symptomatic of selection bias. One implication of these results is that so-called smart beta funds, which are designed in-sample to deliver a desirable performance pro file, are likely to disappoint out-of-sample