macrocephalopod

"Weighted average beta for all stocks=1, weighted average excess return = market excess return" Are either of these true? I sent you a screen last week which made is seem like the first certainly wasn't true.

https://twitter.com/breakingthemark/status/1367677994500825090?s=20 …

”The beta of most stocks is above one” and “the weighted average of the beta of all the stocks is one” are not contradictory statements.

Agreed. My point here is that there is a relationship between the average return of all stocks (weighted equally) to their variance. You don't need any comparison through beta to the market portfolio.

Lord, are we still calculating Betas - I thought Buffett put it to rest: “Academics compute with precision the ‘‘beta’’ of a stock – its relative volatility in the past – and then build arcane investment and capital-allocation theories around this calculation.... /1

In their hunger for a single statistic to measure risk, however, they forget a fundamental principle: It is better to be approximately right than precisely wrong” /n

So much wrong with this it's hard to know where to begin - 1. no one things they are computing beta "with precision" there are obviously error bars 2. no one actually believes in capm but it's a useful mental model 3. it is obviously not the only way that stock risk is measured

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"?