tag:blogger.com,1999:blog-7905515.post4070014366126735047..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Beta Adored Before DataEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-7905515.post-74255942234292619142011-09-05T07:58:17.109-05:002011-09-05T07:58:17.109-05:00In a world where some are envious and some are gre...In a world where some are envious and some are greedy, what does the equibrium look like? It seems to me that part of the attraction of beta is that the equilibrium is stable and should obtain so long as some people are greedy even if many are envious. <br /><br />I'm not disputing the empirical evidence here.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-25844667586957317442011-09-01T13:22:27.467-05:002011-09-01T13:22:27.467-05:00Eric,
I sent you an e-mail related to this post a...Eric,<br /><br />I sent you an e-mail related to this post a few days ago. Could you please check your bulk folder for it? <br /><br />Thanks a lot.Dave Pinsenhttp://steamcatapult.com/noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-25436617499869966182011-08-30T08:24:21.665-05:002011-08-30T08:24:21.665-05:00Wow. I didn't realize that commenting on a blo...Wow. I didn't realize that commenting on a blog post required the same rigor as a refereed paper. Next time, I'll be sure to include a complete literature review and suggestions for further research when I do a fun data exercise for a 30-minute diversion at work.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-41700595237053048582011-08-29T14:51:52.385-05:002011-08-29T14:51:52.385-05:00The CAPM is a good normative model, but a bad desc...The CAPM is a good normative model, but a bad descriptive one. I think it was Steve Ross who said the CAPM is more important if it doesn't work, and I agree. That's not a paradox, and I've said this before. Also, I generally believe in efficient markets, and consider this unrelated to why the CAPM does not hold, having to do with utility functions instead.<br /><br />Robeco has some very successful low volatility funds it sells to institutions.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-46824846296043799072011-08-29T11:50:56.184-05:002011-08-29T11:50:56.184-05:00What would you suggest small investors wanting to ...What would you suggest small investors wanting to invest low-vol look at? The people at ROBECO didn't seem very interested.jsalvatihttps://www.blogger.com/profile/16509764680257537430noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-6332370256612548812011-08-29T11:23:07.412-05:002011-08-29T11:23:07.412-05:00I just happened to have such a plot waiting in the...I just happened to have such a plot waiting in the wings in a blog post wondering about the properties of portfolios with beta = 1. It is now posted at <a href="http://www.portfolioprobe.com/2011/08/29/the-effect-of-beta-equal-1/" rel="nofollow">The effect of beta equal 1.</a>Pat Burnshttp://www.portfolioprobe.com/blog/noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-77999870892557271572011-08-29T10:08:04.917-05:002011-08-29T10:08:04.917-05:00I will first laugh for a moment at anyone who did ...I will first laugh for a moment at anyone who did empirical analysis on 8 stocks and thinks he has anything to say.<br /><br />Now I'll take on Eric. You HATE the CAPM, but LOVE low beta investing. Do you see the irony? Loving low beta investing is in many ways a belief that the CAPM should hold but doesn't. You LOVE the CAPM if you like low beta. That's not precise, but if no CAPM like logic, why is low beta investing exciting? If you aren't supposed to get lower returns on low beta, why would not getting them be interesting?<br /><br />What you are saying is you believe the CAPM is a great model, and it should hold, but the market is too inefficient to get us there, creating an opportunity. That is very different from making fun of the CAPM as a model.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-90832222991902719992011-08-29T09:51:01.097-05:002011-08-29T09:51:01.097-05:00it took me about 30 minutes this morning to pull m...it took me about 30 minutes this morning to pull monthly prices on 8 major stocks and the S&P, run regressions to get betas and alphas, build some plots, compute some correlations to find evidence supporting what you're saying and against CAPM.<br /><br />Alpha appears correlated with higher returns, negatively correlated with volatility, and beta appears negatively correlated with returns and highly correlated with volatility. Volatility meanwhile is negatively correlated with returns.Anonymousnoreply@blogger.com