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interesting search construct

a2z
in MFO Premium

would be interested in hearing how to construct a search that best approximates this finding over multiple (3,5,10,20 yr) time periods :

"managers with the skill to outperform on the 5% of days with the worst market returns generate about as much unconditional future outperformance as managers with the skill to outperform on the remaining 95% of days"

very short article well-worth reading...
https://klementoninvesting.substack.com/p/want-to-know-if-a-fund-manager-is

Comments

  • WABACWABAC
    Since both groups generate "about as much" future return I'm not sure why one would try too hard to isolate one group from the other outside of a academic research; not that there is anything wrong with academic research.

    I see that in the comments that Klement, the author of the linked piece, somewhat endorses the observation: "So basically just the low beta factor, but for funds?"

    I often include betas <= one in my fund screen. But I have no idea how that could be used to identify the stock pickers dodging those worst few days of the investing calendar.

    If there wasn't a turkey waiting for my attention in the refrigerator I might ponder whether the paper Klement is discussing goes into how long the out-performance persists. I also wonder how much overlap there might be between the groups over periods of time.
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