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- Published online October 31, 2010.
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Copyright © 2010 Renaissance Technologies LLC. All rights reserved. Not to be reproduced or redistributed without permission.
Author Information
- David L. Donoho
- Robert A. Crenian
- Matthew H. Scanlan
- To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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In this issue
Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating Returns
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- Article
- Abstract
- PREVIOUS WORK AND OUR APPROACH
- RESEARCH DESIGN: SIMULATION OF MANAGER SELECTION
- REALIZED SHARPE RATIO CAN BE VERY DIFFERENT FROM EXPECTED SHARPE RATIO
- SKILLED MANAGERS DO EXPERIENCE DRAWDOWNS
- SKILLED MANAGERS FREQUENTLY UNDERPERFORM THE LUCKIEST UNSKILLED MANAGERS
- MANY SKILLED MANAGERS UNDERPERFORM POST-SELECTION
- THE PATIENT INVESTOR PERSONALITY PRODUCES THE BEST PORTFOLIO RETURNS
- WHY THE INCREASING IMPATIENCE?
- CONCLUSION: THE LIFE OF A CIO IS DIFFICULT
- ENDNOTES
- REFERENCES
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