Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating Returns
David L. Donoho, Robert A. Crenian and Matthew H. Scanlan
The Journal of Portfolio Management Fall 2010, 37 (1) 105-120; DOI: https://doi.org/10.3905/jpm.2010.37.1.105
David L. Donoho
is a member of the research staff at Renaissance Technologies LLC in East Setauket, NY.
Robert A. Crenian
is a managing director at Renaissance Institutional Management (U.K.), Ltd., in London, U.K.
Matthew H. Scanlan
is the president and CEO of Renaissance Institutional Management LLC in New York, NY.
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Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating Returns
David L. Donoho, Robert A. Crenian, Matthew H. Scanlan
The Journal of Portfolio Management Oct 2010, 37 (1) 105-120; DOI: 10.3905/jpm.2010.37.1.105
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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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