March 11, 2024 (NO COMMENTS)

Since 2013, factor investing performance has stagnated. And Marcos Lopez de Prado thinks he knows why. In January, he released a 35-page working paper that practically declares the sector’s systematic investing approach to be built on bad science.

“Factor investing has failed to perform as expected … because the econometric canon used to make and peer-review factor claims is flawed,” states Lopez de Prado – global head, quantitative research and development at the Abu Dhabi Investment Authority