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Stats › Backtesting en bewijs › Anomaly decay

Published anomalies lose 58% after publication, and data mined signals that were never published lose almost as much

In sample the original paper: 0.582%+0.582%In samplethe original paperOut of sample before publication: 0.432%+0.432%Out of samplevoor publicatiePost publication: 0.264%+0.264%Post publication

Mean monthly long short returns for 97 cross-sectional predictors from 80 studies, by regime. The decline is minus 0.150 with a standard error of 0.077 out of sample and minus 0.337 with a standard error of 0.090 after publication. The middle bar is the in-sample mean plus the out-of-sample coefficient; the source prints the coefficients, not that level.

Returns to published predictors fall 26% out of sample and 58% after publication. But mechanically data mined signals, which nobody published and nobody traded, retain 51% against published predictors' 53%. Most of the decay is not about publication.

58%Fall in published predictor returns after publication
26%The same measured out of sample but before publication
About 53%Share of original returns retained by published predictors
About 51%The same for mechanically data mined signals

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Below this point there are 5 sections and 5 named sources, roughly 800 words of it. Every figure carries the source it came from and the date the data is from.

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