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When do systematic strategies decay?

Quantitative Finance (2022) 22(11) 1955-1969
DOI: 10.1080/14697688.2022.2098810
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Abstract

Published anomalies evaluated outside the data sample deliver about 50% of in-sample performance.

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APA

Falck, A., Rej, A., & Thesmar, D. (2022). When do systematic strategies decay? Quantitative Finance, 22(11), 1955–1969. https://doi.org/10.1080/14697688.2022.2098810

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