

Untangling Skill and Luck [pdf] - riffer
http://www.lmcm.com/pdf/UntanglingSkillandLuck.pdf

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Nick_C
Good article.

I'll nitpick by disagreeing with his assertion that asset allocation decisions
weren't analysed for skill vs luck. We were certainly analysing our
performance into decision types and their results for skill or luck. The
results were pretty conclusive. We started to (mildly) overweight our skill
decision types and underweight our luck decision types and the result was some
very successful portfolios for our clients.

I can't say whether all investment houses were doing it, probably not, but I'm
pretty sure the houses known for their quant work would have been.

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woan
Excellent article! Reminds me of the adage "Success is a poor teacher" as a
reminder that those that are always successful have little motivation to
figure out the reasons for their success.

