So if I had a student who was serious about global macro trading, I would give him or her this paper. I would require he or she to read it, making a list of every term or idea they weren’t familiar with, then research every term/idea, then read it again. Then repeat the process with every referenced paper. Then, I’d hire them.
Executive Summary • Much has been said about superstar investors and their investment styles, but there has been much less empirical analysis to explain their performance.
• Our findings suggest that success for many great investors is not luck or chance, but in large part reward for long-term exposure to factors that have historically produced excess returns.
• Thus, a key takeaway for investors is to identify structural edges (factor tilts or otherwise) and then have the patience to stick with them for the long term.
• Though our results may seem compelling, we have the clear bene t of hindsight. Any “alpha” that comes out of our analysis is thus understated. These great investors “figured it out” first, had the ability to stick to their philosophies, and rightly deserve their reputations.