This is the problem that Hedge Fund Bus Dev guys have all the time - Portfolio of PMs with historic returns (giving uncertain estimates of E[Ret] and Cov[Ret]). New PM comes along - how much to invest? What do you need to know?
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Most bizdev I’ve seen can’t seem to realise that Pnl on the sellside doesn’t translate to buyside all that well. More often than not, dividing sellside pnl by 5 is probably most appropriate.
That’s probably fair in equities. I’ve seen rates PMs make the transition much more successfully.
