TY - JOUR T1 - Great Investors: <em>Their Methods, Results,</em> <br/> <em>and Evaluation</em> JF - The Journal of Portfolio Management SP - 128 LP - 147 DO - 10.3905/jpm.2012.38.4.128 VL - 38 IS - 4 AU - Olivier Gergaud AU - William T. Ziemba Y1 - 2012/07/31 UR - https://pm-research.com/content/38/4/128.abstract N2 - Gergaud and Ziemba discuss the records of some great investors and hedge fund managers. The investors’ graphs of wealth over time lead to a search for smooth monotone paths and a fair way to evaluate superior as opposed to average investors. Some investors prefer high long-run growth and accept bumps rather than smooth wealth paths and lower growth. These include some Kelly criterion investors such as Buffett, Keynes, and Soros who have concentrated portfolios with few asset positions. In 2005 Ziemba proposed a modification, following an earlier proposal by Ziemba and Schwartz in 1991, of the ordinary normal distribution?based Sharpe ratio to evaluate right-skewed great investor portfolios. This measure only counts losses and is useful in evaluating superior investors such as the Renaissance Medallion hedge fund, which has a high rating by the modified downside symmetric Sharpe ratio (DSSR) as opposed to having only a modest rating with the ordinary Sharpe ratio. Using the University of Massachusetts hedge fund database, Gergaud and Ziemba discuss some funds with superior records and from their evaluation learn more about the properties of the DSSR and the modified downside symmetric information ratio.TOPICS: Portfolio construction, statistical methods, accounting and ratio analysis ER -