Great Investors: Their Methods, Results and Evaluation

Olivier Gergaud and William T. Ziemba

Chapter 9 in Great Investment Ideas, 2016, pp 175-212 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We discuss the records of some great investors and hedge fund managers. Their graphs of wealth over time leads us to a search for smooth monotone paths and how we might fairly evaluate superior as opposed to average investors. Some investors prefer high long run growth and accept bumps, rather than smooth wealth paths and lower growth. These include some Kelly criterion investors such as Buffett, Keynes and Soros who have concentrated portfolios with few asset positions. Earlier, Ziemba (2005), following an idea in Ziemba and Schwartz (1991), proposed a modification of the ordinary normal distribution based Sharpe ratio to evaluate right skewed great investor portfolios. This measure only counts losses and is useful in evaluating superior investors such as the Renaissance Medallion hedge fund which has a high rating by the modified downside symmetric Sharpe ratio as opposed to a modest rating with the ordinary Sharpe ratio. Using the University of Massachusetts hedge fund database, we show some funds with superior records and from this evaluation learn more about the properties of the DSSR and the modified downside symmetric information ratio (DISR).

Keywords: Investment Management; Portfolio Theory and Practice; Great Investors; Stock Market Anomalies; Evaluation Theory; Portfolio Performance; Stock Market Performance (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813144385_0009 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813144385_0009 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813144385_0009

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().