Previous personal research, mainly. However, a quick check through the LSE paper you linked: However, performance in the late 1920s was disappointing, as we saw in
the previous section. His 83% equity allocation at the end of August 1929 indicates
that he failed to foresee the imminent sharp fall in the London market. This
sobering experience could well have led Keynes to his beauty contest metaphor
and to bemoan the seeming inability of the “serious-minded” investor, frustrated by
the “game-players”, “to purchase investments on the best genuine long-term
expectations he can frame” (Keynes, 1936: 156).
I'd be surprised if the other sources failed to acknowledge that he busted badly in 1929-31.
jpdoctor: it makes no sense to judge his long-term results based on a short stretch of under-performance. According to that same paper, the portfolio he managed for Cambridge University beat the market by 8%/year on average from the early 1920's until his death in 1946. That period includes the Great Crash of 1929 and the Great Depression of the 1930's!
PS. That would be like judging Warren Buffett's impressive long-term investment record based on the sharp decline in Berkshire Hathaway's share price during the financial panic of 2008!
PPS. If you think Buffett's record is explained by luck, check out the subsequent long-term record of the seven investors identified in this article he wrote for Columbia Business School's magazine in 1984: http://www4.gsb.columbia.edu/null?&exclusive=filemgr.dow... -- all materially outperformed the major stock indices after being identified by Buffett -- what are the odds of that?
> it makes no sense to judge his long-term results based on a short stretch of under-performance.
It makes enormous sense: He missed the biggest economic event of three generations. If you can't call the big ones, then there's very little proof his returns were something other than luck.
Look, both Keynes and Buffett (since you mentioned him) have long term positive results when there was a long term positive market. Choose a high-beta portfolio in such an environment, and voila! you beat the market. In order to show you have any actual insight and aren't just playing for luck, you need to show that you beat the market significantly in both up and down environments.
BTW, the entire mutual fund market is based on this approach, and when a fund seriously underperforms, it is conveniently removed from the portfolio of Fidelity/Janus/insert hucksters here.
I'd be surprised if the other sources failed to acknowledge that he busted badly in 1929-31.