Timing Luck in Factor Investing

How robust are your backtests, really?

Nicolas Rabener
10 min read
18 May 2026

SUMMARY

  • The starting date matters for a backtest
  • Annual returns can vary more than 10%, challenging robustness
  • Averaging into portfolios can reduce the timing luck

INTRODUCTION

The objective of quantitative investing is to separate skill from luck by applying a rigorous, evidence-based approach to strategy evaluation. In practice, this means conducting backtests over long horizons that span multiple market regimes, using a realistic universe of tradable instruments, incorporating transaction and market impact costs, and validating results through out-of-sample tests or across different markets.

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