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Rekenthaler Report

Voodoo Investment Strategies

Mathematicians on the attack.


Firing a Broadside
Immediately after I finished yesterday's column on technical analysis, a related paper landed on my desk: "Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-Of-Sample Performance."

It's the first paper written by mathematicians that I have ever read. (Certainly, the first that was peer-reviewed for Notices of the American Mathematical Society.) And a pleasure it was. Based on a sample size of one, I can confidently state that mathematicians are much better writers than are finance professors.

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John Rekenthaler does not own shares in any of the securities mentioned above. Find out about Morningstar’s editorial policies.