Recorded March 13, 2019
The History of the Cross-Section of Stock Returns
Juhani Linnainmaa cautions investors to be wary of alpha decay in newly discovered factors. Using fresh, pre-discovery data, his out-of-sample analysis shows about half of the many factors tested were not robust.
Partner & Advisor, Research Affiliates
Professor, USC Marshall School of Business
Senior Vice President, Client Strategies, Research Affiliates