In a virtual presentation at the Seventh Annual Volatility and Risk Institute (VRI) Conference, Marcos López de Prado introduced new research aimed at correcting what he calls the 'Factor Mirage' in quantitative finance. Co-authored with Vincent Zoonekynd, the paper proposes a rigorous research protocol for causal factor investing.
During the conference, held on April 24, 2026, at NYU Stern, López de Prado outlined how many commonly used investment factors may be statistical illusions rather than genuine drivers of returns. The proposed protocol emphasizes causal inference methods to identify factors that truly predict asset performance, rather than relying on spurious correlations.
The presentation was part of a broader conference theme: 'Artificial Intelligence and Risk Management.' While AI plays a role in the research, the primary focus remains on improving factor investing methodologies through causal reasoning, not AI itself.