Time series methods have been applied to economic data since time immemorial. There is nothing particularly newsworthy here beyond the fact that another wannabe mathematician is trying to find a way to make a quick buck off of unsuspecting investors in the markets. "Outperformance" is an hackneyed phrase that has long lost any real meaning when uttered by an MBA; there are just too many ways to cook the books in order to produce the desired outcome.

Surprised not to see Andrew Lo's name associated this "groundbreaking research." It would be totally within his "working style" to trot out some fancy-sounding mathematics that pretends to solve some impossibly messy financial problem, and brag about it in some journal that real scientists (who sometimes collaborate with him in hopes of landing a job on Wall Street after their academic career starts to flounder) do not take all that seriously.

On a more serious note, the former deputy dean of the MIT Sloan School of Management (Gabriel Bitran) is currently serving time in a federal penitentiary with his son for a similar sort of chicanery (fancy mathematical pricing formulas that were complete bullshit according to SEC indictment) in order to screw his investors out of millions of dollars.

This was not long after Bitran narrowly escaped charges for sexually assaulting one of his secretaries at the same institution. In which case, I guess there may be some truth after all to the old saying about a man not "getting lucky" twice :)