Untangling Skill and Luck [pdf]

Good article.

I'll nitpick by disagreeing with his assertion that asset allocation decisions weren't analysed for skill vs luck. We were certainly analysing our performance into decision types and their results for skill or luck. The results were pretty conclusive. We started to (mildly) overweight our skill decision types and underweight our luck decision types and the result was some very successful portfolios for our clients.

I can't say whether all investment houses were doing it, probably not, but I'm pretty sure the houses known for their quant work would have been.

Excellent article! Reminds me of the adage "Success is a poor teacher" as a reminder that those that are always successful have little motivation to figure out the reasons for their success.