Category: Research

2 posts categorized as "Research"

The Case for a Dynamic Beta Strategy

November 9, 2018

“More empirical effort may have been put into testing the CAPM equation than any other result in finance. The results are quite mixed and, in many ways, discouraging.” Mark Rubinstein “The CAPM is a theoretical ‘tour de force’ though ‘empirically vacuous’,” Fama and French The Capital Asset Pricing Model (CAPM) suggests that the return for…

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Using the Volatility Surface to Estimate Expected Returns

September 12, 2018

There are many different ways to estimate returns using quantitative data. The conventional approach is to use a ‘factor model’ which uses predictor variables weighted in some optimal combination to estimate absolute or relative returns. Most factor models combine company fundamental or technical (price and volume) data. Traditional smart beta factors used within these models…

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