A Return to Graham-and-Doddsville: The Application of Performance Measurement to Buffett’s Superinvestors

Abstract

Warren Buffett (1984) presents a group of investors with long-term performance records far
superior than the market. Applying an array of prominent performance evaluation models,
capturing relative, absolute, density based, and utility-based measures, does little to refute the
conclusions of Buffett. Risk-adjusted returns across the group are generally quite impressive.
Additionally, the size factor is a much more appropriate description of the investment framework
of Graham and Dodd than the long-associated value factor. The median coefficient of
determination for the value factor is 5% (7%) while the median for the size factor is 41% (46%).
The lack of evidence to support the value factor’s association with Graham and Dodd should be
considered novel and is arguably the most important finding from the current study.