UNIT 5
Evaluating Fund Claims
A compelling backtest is a hypothesis until its data and process survive adversarial review.
Claim qualityEvidenceThen story
Whether a result could have been produced with information and costs available at the time.
- Reading research
- Evaluating manager decks
- No test removes all uncertainty
- Live behavior can differ
Trusting a smooth curve before checking how it was constructed.
Common threats include look-ahead, survivorship, overfitting, multiple testing, and omitted costs.
60-SECOND CHEAT SHEET
Remember this.
- 1Point-in-time data
- 2Out-of-sample test
- 3Costs + benchmark + risk