Originally Posted by aquinas
Also, with securities markets best modelled as a random walk plus drift, I don't know that stock portfolio performance is really indicative of anything at all to do with intelligence. It's a random variable, per JonLaw's results.


The financial markets are close to being efficient because there are smart people who are paid well to exploit inefficiencies. Hedge fund managers who went to colleges with high SAT scores (and who presumably have higher scores and IQs themselves) earn higher returns:

http://web.ics.purdue.edu/~zhang654/jfqa_manager.pdf
Investing in Talents: Manager Characteristics and Hedge Fund
Performances
Haitao Li, Xiaoyan Zhang, and Rui Zhao∗
June 2009
Investing in Talents: Manager Characteristics and Hedge Fund Performances
Abstract
Using a large sample of hedge fund manager characteristics, we provide one of the
first comprehensive studies on the impact of manager characteristics, such as education
and career concern, on hedge fund performances. We document differential ability among
hedge fund managers in either generating risk-adjusted returns or running hedge fund as a
business. In particular, we find that managers from higher-SAT undergraduate institutes
tend to have higher raw and risk-adjusted returns, more inflows, and take less risks. Unlike
mutual funds, we find a rather symmetric relation between hedge fund flows and past
performance, and that hedge fund flows do not have a significant negative impact on future
performance.
JEL: G23, G11, G12.
Keywords: hedge fund performance, manager characteristics, hedge fund flows.

The same pattern holds for mutual fund managers:

http://www.nber.org/digest/aug97/w5852.html
In Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance (NBER Working Paper No. 5852), Chevalier and Ellison focus on managers, instead of funds: given the high rate of managerial turnover in the mutual funds industry, the distinction between fund performance and manager performance is not a trivial one. They then examine cross-sectional performance, instead of searching for correlations in fund returns over time.

During the time period they study, there is a strong correlation between fund returns and a manager's age, the average SAT score of his or her undergraduate school, and whether he or she holds an MBA.