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When do systematic strategies decay?

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Author(s)
Falck, Antoine
•
Rej, Adam
•
Thesmar, David
Date Issued
August 8, 2022
Journal
Quantitative Finance
Publisher
Taylor & Francis
Citation
Falck, A., Rej, A., & Thesmar, D. (2022). When do systematic strategies decay? Quantitative Finance, 22(11), 1955–1969.
Version
Final published version
Abstract
Published anomalies evaluated outside the data sample deliver about 50% of in-sample performance.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-NonCommercial-NoDerivatives
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DOI of Published Version
https://doi.org/10.1080/14697688.2022.2098810
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