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.
Juhani Linnainmaa, PhD
Partner & Advisor, Research Affiliates Professor, USC Marshall School of Business
Brent Leadbetter, CFA
Senior Vice President, Client Strategies, Research Affiliates