Quant Theorists Are Paid to Delude Themselves, Cam Harvey Says
- Efficacy of quant factors seen overstated due to data mining
- Harvey expects vast majority of them to fail outside academia
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A hedge fund pursuing a trading strategy based on fantasy goes broke. A market researcher who does it, on the other hand, is apt to get tenure.
That in a nutshell is the argument in a new paper by Duke University theoretician Cam Harvey, who says that way too many academic projects that go looking for trading edges succeed in finding them. In reality, only a handful stand up outside the walls of academia.