Quant Funds Must Have Realistic Targets

Posted by Michael Harris on June 2, 2019

Unrealistic expectations in the quant world often lead to disaster. The recent market history after quantitative trading was introduced in the 80s is filled with stories of failures of prominent but also less known funds that had unrealistic expectations . . .

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data-mining bias

Michael Harris

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Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Quant Funds Must Have Realistic Targets

Michael Harris

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Quant Funds Must Have Realistic Targets

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CFTC RULE 4.41

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