Marketed backtests of structured strategies largely reflect pre-launch common factor regimes rather than strategy-specific skill, causing sharp deterioration in live performance relative to peer and external benchmarks.
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Evaluating Structured Strategy Backtests: Peer Benchmarks, Regime Timing, and Live Performance
Marketed backtests of structured strategies largely reflect pre-launch common factor regimes rather than strategy-specific skill, causing sharp deterioration in live performance relative to peer and external benchmarks.