capital asset pricing model
Will the low-volatility premium continue to be the best-kept secret in financial markets?
When it comes to ESG investing, we have to agree that we don’t all agree.
The capital asset pricing model (CAPM) is a marvel of economic scholarship. The problem is that it doesn’t always work in practice. So, we fixed it.
Are CAPM and beta effective predictors of future returns?
A defense of modern portfolio theory (MPT) by Nathan Erickson, CFA, CAIA, and Richard Stott; Nicolas Rabener's analysis of the value of factor investing; and an examination of the non-retirement phenomenon by Barbara Stewart, CFA, were among the leading posts from last month.
C. Thomas Howard and Jason Voss, CFA, have called for the demise of modern portfolio theory (MPT) and the capital asset pricing model (CAPM). They say “financial markets should be viewed and analyzed using a behavioral lens.” Nathan Erickson, CFA, CAIA, and Richard Stott have a different opinion.
Alarm bells have been ringing over the summer about remarkably low levels of volatility — a key input in many common investment models — across global markets.
Amidst the worst financial crisis in a generation, polarizations between proponents of quantitative approaches and those who favor classical fundamental analysis and behavioral finance pose a hindrance to solving the practical challenges we face as investors. Can this chasm be bridged?