Re: An experiment with riding a mutual fund manager
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Would you expect risk-adjusted performance to be better than the fund itself, or just performance overall? I would expect only the latter.
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Define "risk adjusted performance."
eastbay
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monthly excess reutns of fund / total fund standard deviation of monthly returns
vs.
monthly top 5 excess returns / top 5 standard deviation of monthly returns
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This is not an interesting quantity to me, so the answer is: I don't care.
As a measure of risk and reward, it presumes that standard deviation is a good measure of risk, and furthermore it assumes that I should consider twice as much return to be "the same" if there is twice as high a standard deviation associated with it. Neither of which makes much sense to me and together renders the numbers pretty uninteresting indeed.
eastbay
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