The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
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
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