beta
Are CAPM and beta effective predictors of future returns?
Since equity markets peaked in February 2020, the underlying foundation of systematic risk has flipped on its head.
Dr. Benjamin R. Auer discusses why he and Frank Schuhmacher decided to study the low-risk anomaly and what their investigations revealed, in an interview with Abby Farson Pratt of the Financial Analysts Journal.
One of the reasons active investment managers compare poorly to passive ones is bad methodologies on the part of investment industry adjuncts.
After the global financial crisis, emerging market debt was a rising star. Yet, since last fall these markets had steadily lost ground. Now that these markets appear to have stabilized in recent months, are there opportunities for investors? If so, are these opportunities beta or alpha? In other words, can you jump in with both feet or do you have to be selective in what you invest?
As new "smart beta" strategies become more popular, how can investors choose among hedge fund beta, alternative beta, liquid alternative beta, exotic beta, smart beta, scientific beta, and the many others that are increasingly available?
Three factors make emerging market debt tick: country risk, mostly driven by fiscal conditions, i.e., internal balances as it is often known; currency risk, driven by balance of payments or external balances and the resulting reserve positions; and corporate credit risk, i.e., company balance sheets.
At the recent CFA Institute Global Investment Risk Symposium, Ron Ryan, CFA, of Ryan ALM, appealed for greater transparency and the application of commonsense principles in pension accounting, warning that without such changes the solvency of corporations, cities, and states is at stake.