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So this is showing that these funds do “better” with essentially randomized data vs. real data? Wouldn’t there need to be some bad assumptions beyond overfitting for this to occur? Or is it fees absorbing the profit?
No, it's showing that the simulated performance was overfitted, and the outperformance did not persist in live trading.
That’s more or less what I meant. What differentiates simulated data vs randomized data? Simulated being some form of Geometric random walk with drift?
You misunderstand, it is simulated performance on historical data. The "simulated" aspect is that they were not really trading over this period, they just calculated some hypothetical performance as if they were. They didn't just generate random data.
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