Concept · Point-in-time data discipline
Look-ahead bias
Letting a backtest see information that wasn't yet public on the simulated date. The most common research bug.
In depth
Letting a simulation use information that wasn't public on the simulated date — the most common research bug. Filing lags are the usual culprit: a fund's holdings aren't knowable until ~45–60 days after the report date.
Referenced by (3)
- The Persistence of Stock-Selection Residuals
A point-in-time, holdings-based decomposition of mutual fund performance — the stock-selection residual persists out of sample; style timing and sector timing, measured the same way, do not.
- Beyond Active Share
A within-mandate manager-efficiency framework using ERM3 residual decomposition
- The Industry Beneath the Index
Vasicek peer-β cross-sections expose what sector ETFs paper over