So somewhat near 1. I'm not sure if 20 years is enough to get a full convergence. I used 70 years of data in my post. I think its a coincidence that the two meathods nearly equally flank 1 on each side.
-
4. beta is not "relative volatility" unless you are using those words very loosely 5. measuring beta (and keeping error bars in mind) allows you to be "approximately right", why would it mean you are "precisely wrong"?
6. Buffett probably doesn't care about beta and that's fine, his investment style doesn't need it, but see how your investors react when your "market neutral" fund becomes highly correlated to the market, and you'll see how important it is to estimate betas
-
-
Lets take a step back We know countless examples where Physics (a hard science) has gotten to a dead end & reversed. So in economics (the softest social science), is it not possible to have dead ends? One silly view: They went down the wrong path with Beta. Time to Reverse?
-
If you're saying simple models relating risk (beta) to return are wrong -- completely agree! That's been widely recognized at least since the mid 1970s, when arbitrage pricing theory was developed. If you're saying that beta is useless and has no applications, I disagree.
End of conversation
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.