Can history resolve factor investors’ p-hacking questions?

Quants seek reassurance in the far distant past

The economist Campbell Harvey showed back in 2017 that many of the proliferation of factor strategies – famously dubbed the Factor Zoo – were statistically dubious.

Ever since, the question of so-called p-hacking has hung over the field. P-hacking is when quants formulate strategies that work in backtests but depend on chance patterns in history that fail to repeat.

Recent underperformance has further fed concerns. Three of the core equity factor strategies – momentum, value and size – trailed the