I have named my dotter Cathie _老虎社区_美港股上老虎

2021-03-23

I have named my dotter Cathie in honour of ARK

Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新公司的回报是凯西-伍德的技术还是运气，目前尚无定论。</blockquote>

免责声明：上述内容仅代表发帖人个人观点，不构成本平台的任何投资建议。

精彩评论

我们需要你的真知灼见来填补这片空白

发表看法

{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":353400221,"tweetId":"353400221","gmtCreate":1616510181963,"gmtModify":1631891768629,"author":{"id":3560130779771513,"idStr":"3560130779771513","authorId":3560130779771513,"authorIdStr":"3560130779771513","name":"wallstreaks","avatar":"https://static.tigerbbs.com/5a0d57618353cd0406b7a1f7ee2445a8","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[],"fanSize":17,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"title":"","extraTitle":"","html":"<html><head></head><body>I have named my dotter Cathie in honour of ARK&nbsp;</body></html>","htmlText":"<html><head></head><body>I have named my dotter Cathie in honour of ARK&nbsp;</body></html>","text":"I have named my dotter Cathie in honour of ARK","highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/353400221","repostId":1137063642,"repostType":4,"repost":{"id":"1137063642","kind":"news","pubTimestamp":1616505836,"share":"https://www.laohunote.com/m/news/1137063642?lang=zh_CN&edition=full","pubTime":"2021-03-23 21:23","market":"us","language":"en","title":"Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新公司的回报是凯西-伍德的技术还是运气，目前尚无定论。</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1137063642","media":"MarketWatch","summary":"Statistical scrutiny brings this high-flying ETF down to earth\nYou could have performed as well as t","content":"Statistical scrutiny brings this high-flying ETF down to earth<blockquote>统计审查让这只高飞的 ETF 脚踏实地</blockquote> You could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.<blockquote>通过投资纳斯达克 100 指数，您的表现可以与高飞的方舟创新 ETF 一样出色。</blockquote> I know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust&nbsp;(which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.<blockquote>我知道这似乎很难相信，考虑到首席投资官凯西·伍德 (Cathie Wood) 在 ARK Innovation 上取得了令人惊叹的业绩——根据 FactSet 的数据，过去一年增长了 229%。与此同时，景顺 QQQ Trust（以纳斯达克 100 指数为基准）上涨了 78%。自2014年10月成立以来，ARK Innovation的年化收益为34.6%，而QQQ的年化收益为20.6%。</blockquote> At the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&amp;P 500.<blockquote>与此同时，ARK Innovation 的波动性和风险极大，与纳斯达克 100 强进行单一比较具有误导性。以月回报率标准差衡量，ARK Innovation 的波动性比 QQQ 高出 73%。这确实说明了一些问题，因为 QQQ 本身的波动性比标普500等大盘指数更大。</blockquote> One approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.<blockquote>统计学家用来创建苹果与苹果之间比较的一种方法是使用一种被称为夏普比率的指标，该指标由 1990 年诺贝尔经济学奖获得者威廉·夏普发明。它是基金的平均回报率与这些回报率的标准差的比率。ARK Innovation 自 2014 年以来的月回报率夏普比率几乎与 QQQ 完全相同。</blockquote> If you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.<blockquote>如果你像我的一些客户一样，你的反应是不在乎夏普比率。“你不能把夏普比率拿到银行去，”你实际上是在告诉我。原始的表现才是最重要的，在此基础上，毫无疑问，ARKK 的表现要好得多。</blockquote> This reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:<blockquote>然而，这种反应令人困惑。事实上，你可以把夏普比率带到银行。如果你愿意承受方舟创新公司增加的波动性，你也可以通过投资 QQQ 来赚取同样多的钱。也就是说，您可以通过增加对 QQQ 的投资组合配置，或者以足够的保证金购买它来赚取同样多的钱。如下图所示：</blockquote> <img src=\"https://static.tigerbbs.com/13b81e9f1962e464faeb2d45cdd0e5f9\" tg-width=\"1260\" tg-height=\"849\"><blockquote></blockquote> The Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.<blockquote>夏普比率并不是统计学家用来衡量公平竞争环境中顾问表现的唯一方法，但其他广泛使用的方法也得出了同样的结论。也许最著名的，至少在学术界是Fama-French因子模型，以芝加哥大学金融学教授Eugene Fama（2013年诺贝尔经济学奖获得者）和达特茅斯学院教授Ken French的名字命名。他们的模型包括计量经济学测试，以确定共同基金的回报是否明显优于以小盘股、增长和动量等因素为基准的指数基金组合。</blockquote> The answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.<blockquote>ARK Innovation 的答案是 “否定”--将跑赢大盘配置给小盘股成长基金，自 2014 年 11 月以来，总体回报将保持不变。</blockquote> Luck versus skill<blockquote>运气与技巧</blockquote> Note carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.<blockquote>请注意，这些统计测试并不能证明方舟创新公司的业绩完全归功于运气。相反，这些测试告诉我们，我们不能得出它的表现不是运气的结论。在这种情况下，双重否定不等于正定；这是一个微妙但重要的区别。</blockquote> This goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)<blockquote>这表明，证明投资经理具有真正的战胜市场的能力是多么困难。如果在 6 年多的时间内击败指数基金超过 10 个百分点还不够，那么什么还不够？（向 ARK Investment Management 发送的请求置评的电子邮件没有立即得到回复。）</blockquote> The answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.<blockquote>答案是：满足传统的统计显著性标准需要在更长的时间内以更大的数量击败市场。</blockquote> An example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)<blockquote>文艺复兴科技公司（Renaissance Technologies）的 Medallion 基金就是一个跨越这一更高门槛的基金例子，该基金在截至 2020 年的 33 个日历年中取得了令人难以置信的 39% 年化回报率，而指数基金的年化回报率 “仅为 ”11%。加州大学洛杉矶分校金融学名誉教授布拉德福德-康奈尔（Bradford Cornell）在接受采访时告诉我，不可能将该基金的出色表现仅仅归因于运气。（遗憾的是，该基金仅适用于 Renaissance Technologies 的现任和前任合作伙伴。）</blockquote> In the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.<blockquote>与此同时，现在对方舟创新公司的出色表现下结论还为时过早。它在未来几年的表现可能足够好，最终满足传统的统计显著性标准。在此之前，我们无法确定。这是指数基金成为默认投资选择的另一个原因。</blockquote>","source":"market_watch","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Jury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新公司的回报是凯西-伍德的技术还是运气，目前尚无定论。</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nJury out on whether ARK Innovation returns are due to Cathie Wood’s skill or luck<blockquote>方舟创新公司的回报是凯西-伍德的技术还是运气，目前尚无定论。</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nMarketWatch2021-03-23 21:23\n\n</h4>\n</header>\n<article>\nStatistical scrutiny brings this high-flying ETF down to earth<blockquote>统计审查让这只高飞的 ETF 脚踏实地</blockquote> You could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.<blockquote>通过投资纳斯达克 100 指数，您的表现可以与高飞的方舟创新 ETF 一样出色。</blockquote> I know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust&nbsp;(which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.<blockquote>我知道这似乎很难相信，考虑到首席投资官凯西·伍德 (Cathie Wood) 在 ARK Innovation 上取得了令人惊叹的业绩——根据 FactSet 的数据，过去一年增长了 229%。与此同时，景顺 QQQ Trust（以纳斯达克 100 指数为基准）上涨了 78%。自2014年10月成立以来，ARK Innovation的年化收益为34.6%，而QQQ的年化收益为20.6%。</blockquote> At the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&amp;P 500.<blockquote>与此同时，ARK Innovation 的波动性和风险极大，与纳斯达克 100 强进行单一比较具有误导性。以月回报率标准差衡量，ARK Innovation 的波动性比 QQQ 高出 73%。这确实说明了一些问题，因为 QQQ 本身的波动性比标普500等大盘指数更大。</blockquote> One approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.<blockquote>统计学家用来创建苹果与苹果之间比较的一种方法是使用一种被称为夏普比率的指标，该指标由 1990 年诺贝尔经济学奖获得者威廉·夏普发明。它是基金的平均回报率与这些回报率的标准差的比率。ARK Innovation 自 2014 年以来的月回报率夏普比率几乎与 QQQ 完全相同。</blockquote> If you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.<blockquote>如果你像我的一些客户一样，你的反应是不在乎夏普比率。“你不能把夏普比率拿到银行去，”你实际上是在告诉我。原始的表现才是最重要的，在此基础上，毫无疑问，ARKK 的表现要好得多。</blockquote> This reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:<blockquote>然而，这种反应令人困惑。事实上，你可以把夏普比率带到银行。如果你愿意承受方舟创新公司增加的波动性，你也可以通过投资 QQQ 来赚取同样多的钱。也就是说，您可以通过增加对 QQQ 的投资组合配置，或者以足够的保证金购买它来赚取同样多的钱。如下图所示：</blockquote> <img src=\"https://static.tigerbbs.com/13b81e9f1962e464faeb2d45cdd0e5f9\" tg-width=\"1260\" tg-height=\"849\"><blockquote></blockquote> The Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.<blockquote>夏普比率并不是统计学家用来衡量公平竞争环境中顾问表现的唯一方法，但其他广泛使用的方法也得出了同样的结论。也许最著名的，至少在学术界是Fama-French因子模型，以芝加哥大学金融学教授Eugene Fama（2013年诺贝尔经济学奖获得者）和达特茅斯学院教授Ken French的名字命名。他们的模型包括计量经济学测试，以确定共同基金的回报是否明显优于以小盘股、增长和动量等因素为基准的指数基金组合。</blockquote> The answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.<blockquote>ARK Innovation 的答案是 “否定”--将跑赢大盘配置给小盘股成长基金，自 2014 年 11 月以来，总体回报将保持不变。</blockquote> Luck versus skill<blockquote>运气与技巧</blockquote> Note carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.<blockquote>请注意，这些统计测试并不能证明方舟创新公司的业绩完全归功于运气。相反，这些测试告诉我们，我们不能得出它的表现不是运气的结论。在这种情况下，双重否定不等于正定；这是一个微妙但重要的区别。</blockquote> This goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)<blockquote>这表明，证明投资经理具有真正的战胜市场的能力是多么困难。如果在 6 年多的时间内击败指数基金超过 10 个百分点还不够，那么什么还不够？（向 ARK Investment Management 发送的请求置评的电子邮件没有立即得到回复。）</blockquote> The answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.<blockquote>答案是：满足传统的统计显著性标准需要在更长的时间内以更大的数量击败市场。</blockquote> An example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)<blockquote>文艺复兴科技公司（Renaissance Technologies）的 Medallion 基金就是一个跨越这一更高门槛的基金例子，该基金在截至 2020 年的 33 个日历年中取得了令人难以置信的 39% 年化回报率，而指数基金的年化回报率 “仅为 ”11%。加州大学洛杉矶分校金融学名誉教授布拉德福德-康奈尔（Bradford Cornell）在接受采访时告诉我，不可能将该基金的出色表现仅仅归因于运气。（遗憾的是，该基金仅适用于 Renaissance Technologies 的现任和前任合作伙伴。）</blockquote> In the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.<blockquote>与此同时，现在对方舟创新公司的出色表现下结论还为时过早。它在未来几年的表现可能足够好，最终满足传统的统计显著性标准。在此之前，我们无法确定。这是指数基金成为默认投资选择的另一个原因。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.marketwatch.com/story/the-jury-is-out-on-whether-ark-innovations-red-hot-returns-are-due-to-cathie-woods-skill-or-luck-11616460092?mod=home-page\">MarketWatch</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"ARKQ":"ARK Autonomous Technology & Robotics ETF","TSLA":"特斯拉","ARKF":"ARK Fintech Innovation ETF","ARKK":"ARK Innovation ETF","QQQ":"纳指100ETF"},"source_url":"https://www.marketwatch.com/story/the-jury-is-out-on-whether-ark-innovations-red-hot-returns-are-due-to-cathie-woods-skill-or-luck-11616460092?mod=home-page","is_english":true,"share_image_url":"https://static.laohu8.com/599a65733b8245fcf7868668ef9ad712","article_id":"1137063642","content_text":"Statistical scrutiny brings this high-flying ETF down to earth\nYou could have performed as well as the high-flying ARK Innovation ETF by investing in the Nasdaq 100 Index.\nI know that seems hard to believe, given the stunning performance chief investment officer Cathie Wood has produced with ARK Innovation— a 229% gain over the past year, according to FactSet. Meanwhile, the Invesco QQQ Trust (which is benchmarked to the Nasdaq 100), gained 78%. Since its creation in October 2014, ARK Innovation has produced an annualized gain of 34.6%, versus 20.6% for the QQQ.\nAt the same time, ARK Innovation has been extremely volatile and risky, making an apples-to-apples comparison with the Nasdaq 100 misleading. As measured by the standard deviation of monthly returns, ARK Innovation has been 73% more volatile than QQQ. That’s really saying something, since QQQ is itself more volatile than broad market indices such as the S&P 500.\nOne approach statisticians use to create an apples-to-apples comparison is with a metric known as the Sharpe Ratio, invented by William Sharpe, the 1990 Nobel laureate in economics. It is the ratio of a fund’s average returns to the standard deviation of those returns. The Sharpe Ratio of ARK Innovation’s monthly returns since 2014 is almost precisely the same as the QQQ’s.\nIf you’re like some of my clients, your reaction is not to care about the Sharpe Ratio. “You can’t take the Sharpe Ratio to the bank,” you in effect tell me. It’s raw performance that counts, and on that basis there’s no doubt that the ARKK did far better.\nThis reaction is confused, however. In fact you can take the Sharpe Ratio to the bank. If you had been willing to incur the ARK Innovation’s increased volatility, you could have made just as much by leveraging an investment in the QQQ. That is, you would have made just as much by increasing your portfolio allocation to QQQ, or by buying it on sufficient margin. This is illustrated in the chart below:\n\nThe Sharpe Ratio is not the only method that statisticians employ for measuring adviser performance on a level playing field, but other widely used approaches reach the same conclusion. Perhaps the best known, at least in academic circles, is the Fama-French factor model, named for University of Chicago finance professor Eugene Fama (the 2013 Nobel laureate in economics) and Dartmouth College professor Ken French. Their model involves an econometric test to see if a mutual fund’s return is significantly better than a combination of index funds benchmarked to factors such as small-cap, growth, and momentum.\nThe answer for ARK Innovation is “no” — an overweight allocation to a small-cap growth fund would have produced the same overall return since November 2014.\nLuck versus skill\nNote carefully that these statistical tests do not prove that ARK Innovation’s performance is due solely to luck. Instead, those tests tell us that we cannot conclude that its performance was not due to luck. In this case, the double negative is not the same as the positive; this is a subtle, but important, difference.\nThis goes to show just how difficult it is to prove that an investment manager has genuine market-beating ability. If beating an index fund by more than 10 percentage points annualized over a 6-plus-year period is not enough, then what is? (An email to ARK Investment Management requesting comment was not immediately answered.)\nThe answer: Satisfying traditional standards of statistical significance requires beating the market by a larger amount over a much longer period.\nAn example of a fund that does jump over this much-higher hurdle is Renaissance Technologies’ Medallion Fund, a hedge fund that has produced an incredible 39% annualized return over the 33 calendar years through 2020, versus “just” 11% annualized for an index fund. Bradford Cornell, an emeritus finance professor at UCLA, told me in an interview that it is impossible to attribute that fund’s outperformance to mere luck. (Unfortunately, this fund is only available to current and former partners at Renaissance Technologies.)\nIn the meantime, it’s too early to render anything close to a final verdict on ARK Innovation’s stunning performance. Its performance over the next several years may prove to be good enough to eventually satisfy traditional standards of statistical significance. Until then we can’t be sure. This is yet another reason why index funds are the default investment of choice.","news_type":1,"symbols_score_info":{"ARKK":0.9,"QQQ":0.9,"ARKQ":0.9,"TSLA":0.9,"ARKF":0.9}},"isVote":1,"tweetType":1,"viewCount":790,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":37,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/353400221"}