Mutual fund report card: February 2019


In a previous Mathematical Investor blog, we presented data on hedge fund performance, covering the 28-year period from 1990 through August 2018. We found that while the HFRI Fund Weighted Composite Index (HFRI FWI) has nearly identical long-term performance growth as the S&P 500 index, the past eight years or so have not been favorable to the hedge funds. Indeed, some of the leading hedge funds have suffered the largest losses.

Along this line, we noted that Warren Buffett recently won his ten-year bet with a hedge fund manager — an S&P 500 index fund bested a basket of

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Two news reports cite work by Marcos Lopez de Prado

In a previous blog, we mentioned that Marcos Lopez de Prado has been named “2019 Quant of the Year” by the Journal of Portfolio Management (see this previous blog for more details). Today (6 February 2019), Lopez de Prado was cited in two financial news reports.

In the first report, from the Financial Times, Lopez de Prado argues that the “black box” paradigm for artificial intelligence (AI), as is used by Amazon, Google, Netflix and others, is poorly suited to finance. Instead, he recommends the “causality” paradigm, which is used more by large scientific laboratories such as the Lawrence Berkeley

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