Top performers: regression to the mean or autocorrelation - that is the question. (Sadly picking the losers doesn't result in winning, so asymmetric else it'd be a simple job.)
I read a study a few years back which tried to quantify the different factors affecting asset raising for hedge funds (eg performance, conference appearances, white papers) and by far the strongest factor was past 24mo returns.https://twitter.com/M_C_Klein/status/1478081381360017411 …
-
-
-
For U.S. equity mutual funds, I found this by
@FactorResearch, which is not observed for hedge funds though?pic.twitter.com/pTlY5IB4Wp
End of conversation
New conversation -
-
-
Studies also pointing to fund flows begetting temporary future alphas (Ahoniemi & Jylha).
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
So you're saying... Most analysts at pension funds and other allocators could sufficiently be replaced by an intern who can sort by returns on Morningstar?
@Nd172557208
pic.twitter.com/PB2dtUFStB
-
No sir, the allocators get paid for sorting on 2y returns, not 3 yr! Big diff and worth their weight in gold!
- Show replies
New conversation -
-
-
Higher AUM leads to underperformance?
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
This Tweet is unavailable.
-
Just like mortgage brokers in 2007-2008 right?
End of conversation
-
-
-
At that horizon, what little performance persistence there is tends to be clustered around the worst performing quantile (largely due to fees). But from the perspective of the individual allocator career risk trumps investment logic.
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
do you happen to remember where you read this study?
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.