Same data with Monte Carlo confidence intervals added ... it's just so beautiful ... [weeps uncontrollably]pic.twitter.com/L4CvI9SJR2
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One of my favorite charts. Winton got hold of pre-launch (simulated) and post-launch performance for 18 liquid alts products, subtracted the benchmk and aligned them to their launch date. Shows ~11.5% outperformance on the simulated data and ~flat in the live period. Overfitting!pic.twitter.com/rgsvRJYovz
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Allocators will be like "yes I am a very serious and skeptical investor, I always discount backtested results by at least 50%" ... No! You should discount them by 87% *at minimum*!
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The blue line looks like a vol selling strategy right around late 2017. Bravo. Imagine how good you have to be to be that wrong.
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Darkish blue might have potential? (Looking at the monte carlo below).
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you have a link to the actual report?
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The alpha is in the inverse p-hacking ensemble strat.
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Are these all trend following strategies? "Style factor" funds would look even worse... (though arguably more a post-2016 crowding effect)
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they’re all CTAs so likely yes — report was from 2013 before “style factors” or “diversified alts” were popular
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