This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link. When pitching an investment product with a backtested history the frequent response from potential investors is that they have never seen a bad backtest. Naturally this is true as there is no point in marketing a strategy with a poor backtest as investors have zero interest in losing money. They also tend to chase performance. However, it is somewhat challenging to respond to the criticism for the quant that ran the backtest. Most quants have a scientific education and are unlikely to champion discretionary investing.