Tag Archives: skewness
Unwisely Concentrated
Anyone familiar with our SPIVA Scorecards will recognize that most active managers fail most of the time. Anyone familiar with active managers will recognize that they can be quite creative in proposing both excuses and remedies for this historical record. One of their most persistent suggestions, in fact, is that active management simply isn’t active…
- Categories Equities, S&P 500 & DJIA
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The Distribution of Alpha
Investment management is a zero sum game. The source of outperformance for a market’s outperformers is the underperformance of the same market’s underperformers. Properly measured, the weighted average sum of the winners’ gains is exactly equal (before costs) to the weighted average sum of the losers’ losses. This identity, along with the professionalization of the…
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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The Skew Is Not New
Market observers have noted that the S&P 500’s performance so far this year has been dominated by a small number of technology stocks. This observation is certainly correct, although it’s fair to question the relevance of a statistic based on fewer than two months’ data. What’s more important is to bear in mind that this…
- Categories Equities, S&P 500 & DJIA, Strategy
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