A
AcadiFi
Capital Market ExpectationsHard

A quant team tests a factor strategy using 1970–2000 data (in-sample) and validates it on 2001–2015 data (out-of-sample). Performance is strong in both periods. The team then re-optimizes the model using the full 1970–2015 dataset and deploys it in 2016. By 2023 the strategy has generated zero alpha. The most likely explanation is: