Sensational SEC Finding: Backtest Gone Bad!

24DecDecember 24, 2014

Sensational SEC Finding: Backtest Gone Bad!

Sensational SEC Finding: Backtest Gone Bad! by Jack Vogel, Ph.D., Alpha Architect
The SEC landed a $35mm fine against F-squared yesterday!

A quote from the the SEC filing:

The inaccurate compilation of historical data substantially improved the AlphaSector’s strategy’s advertised back-tested and hypothetical historical performance for the pre-October 2008 period. If an investor made a hypothetical investment of $100 . . .

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