It takes a long time to prove that you're good

Some stuff from Michael Statsny:

A while ago, we addressed the following question: A portfolio manager knows that his strategy can, on average, outperform the benchmark index by 3% annually. His portfolio has an annual volatility (standard deviation) of 25% against the index's 15%. Assuming that the correlation between the returns of the portfolio and the returns of the index is 0.9, how many years would it take to outperform the index with 90% probability?

The correct answer is a whopping 300 years! (apply the Itô-Döblin formula)

Duh, just apply Itô-Döblin formula!

Check out the whole thing for some interesting charts.  And in general, the whole blog is fantastic.