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by: Erik Larsson
 a reply to How Plentiful is Alpha?by David Rowe - Sungard on Mar 20, 2007 - 04:05 AM read 396 times Source: http://www4.sungard.com/blogs/riskManagement/?p=5#comment-22 |
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Just a quick point regarding Nick Barcia’s comment about creating random portfolios: not changing the market average depends on the underlying distribution from which the sampling is made (Nick’s conclusion is correct given a uniform distribution, which would also imply a relatively “negative” view on the capabilities of the investment managers). On a related note, I firmly believe that it is quite dangerous to draw any strong conclusions from the falling average returns without taking into account the plethora of more or less inexperienced fortune seekers entering the hedge fund space.
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