Practical analysis for investment professionals

capital asset pricing model


Top Five Articles from September: The Value Factor, Non-Retirement, Finance and Civilization

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.

Raising Modern Portfolio Theory (MPT) from the Dead

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.

Record Low Rates and Volatility Muddle Financial Models

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.

The Feuding Tribes of Practitioners (and Theorists) in Investment Management

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?



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